A moment-matching Ferguson & Klass algortihm

Completely random measures (CRM) represent the key building block of a wide variety of popular stochastic models and play a pivotal role in modern Bayesian Nonparametrics. A popular representation of CRMs as a random series with decreasing jumps is due to Ferguson and Klass (1972). This can immediately be turned into an algorithm for sampling realizations of CRMs or more elaborate models involving transformed CRMs. However, concrete implementation requires to truncate the random series at some threshold resulting in an approximation error. The goal of this paper is to quantify the quality of the approximation by a moment-matching criterion, which consists in evaluating a measure of discrepancy between actual mo-ments and moments based on the simulation output. Seen as a function of the truncation level, the methodology can be used to determine the truncation level needed to reach a certain level of precision. The resulting moment-matching Ferguson & Klass algorithm is then implemented and illustrated on several popular Bayesian nonparametric models.