Zarepour, Mahmoud; Labadi, Luai Al - In: Statistics & Probability Letters 82 (2012) 5, pp. 916-924
We describe a simple, yet efficient, procedure for approximating the Lévy measure of a Gamma(α,1) random variable. We use this approximation to derive a finite sum-representation that converges almost surely to Ferguson’s representation of the Dirichlet process. This approximation is written...