Exact Simulation of Two-Parameter Poisson-Dirichlet Random Variables

Angelos Dassios, Junyi Zhang

Research output: Journal article publicationJournal articleAcademic researchpeer-review

2 Citations (Scopus)


Consider a random vector (V1, …, Vn) where {Vk}k=1,…,n are the first n components of a two-parameter Poisson-Dirichlet distribution P D(α, θ). In this paper, we derive a decomposition for the components of the random vector, and propose an exact simulation algorithm to sample from the random vector. Moreover, a special case arises when θ/α is a positive integer, for which we present a very fast modified simulation algorithm using a compound geometric representation of the decomposition. Numerical examples are provided to illustrate the accuracy and effectiveness of our algorithms.

Original languageEnglish
Article number5
Pages (from-to)1-20
Number of pages20
JournalElectronic Journal of Probability
Publication statusPublished - 2021


  • Exact simulation
  • Subordinator
  • Two-parameter poisson-dirichlet distribution

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty


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