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On a Rapid Simulation of the Dirichlet Process
Dirichlet process Gamma process L´ evy measure Stick-breaking representation
2011/7/19
We describe a simple and efficient procedure for approximating the L\'evy measure of a $\text{Gamma}(\alpha,1)$ random variable.
Gaussian Process Regression with a Student-t Likelihood
Gaussian process robust regression Student-t likelihood
2011/7/6
This paper considers the robust and efficient implementation of Gaussian process regression with a Student-t observation model. The challenge with the Student-t model is the analytically intractable i...
A Resummed Branching Process Representation for a Class of Nonlinear ODEs
representations Branching Process Nonlinear ODEs
2009/4/7
We study some probabilistic representations, based on branching processes, of a simple nonlinear differential equation, i.e. $u'=lambda u(au^R-1)$. The first approach is basically the same used by Le ...
On the Chung-Diaconis-Graham random process
Chung Diaconis Graham considered random processes
2009/4/3
Chung, Diaconis, and Graham considered random processes of the form Xn+1=2Xn+bn (mod p) where X0=0, p is odd, and bn for n=0, 1, 2, ... are i.i.d. random variables on {-1,0,1}. If Pr(bn=-1)=Pr(bn=1)= ...