A General Purpose Approximation to the Ferguson-Klass Algorithm for Sampling from Lévy Processes Without Gaussian Components

Abstract

We propose a general-purpose approximation to the Ferguson-Klass algorithm for generating samples from Lévy processes without Gaussian components. We show that the proposed method is more than 1000 times faster than the standard Ferguson-Klass algorithm without a significant loss of precision. This method can open an avenue for computationally efficient and scalable Bayesian nonparametric models which go beyond conjugacy assumptions, as demonstrated in the examples section.