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December 2019 Stochastic Approximations to the Pitman–Yor Process
Julyan Arbel, Pierpaolo De Blasi, Igor Prünster
Bayesian Anal. 14(4): 1201-1219 (December 2019). DOI: 10.1214/18-BA1127


In this paper we consider approximations to the popular Pitman–Yor process obtained by truncating the stick-breaking representation. The truncation is determined by a random stopping rule that achieves an almost sure control on the approximation error in total variation distance. We derive the asymptotic distribution of the random truncation point as the approximation error ϵ goes to zero in terms of a polynomially tilted positive stable random variable. The practical usefulness and effectiveness of this theoretical result is demonstrated by devising a sampling algorithm to approximate functionals of the ϵ-version of the Pitman–Yor process.


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Julyan Arbel. Pierpaolo De Blasi. Igor Prünster. "Stochastic Approximations to the Pitman–Yor Process." Bayesian Anal. 14 (4) 1201 - 1219, December 2019.


Published: December 2019
First available in Project Euclid: 11 June 2019

zbMATH: 1435.62076
MathSciNet: MR4136558
Digital Object Identifier: 10.1214/18-BA1127

Primary: 62E20
Secondary: 62C10


Vol.14 • No. 4 • December 2019
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