Perfect Sampling of the Posterior in the Hierarchical Pitman-Yor Process.

The predictive probabilities of the hierarchical Pitman-Yor process are approximated through Monte Carlo algorithms that exploits the Chinese Restaurant Franchise (CRF) representation. However, in order to simulate the posterior distribution of the hierarchical Pitman-Yor process, a set of auxiliary variables representing the arrangement of customers in tables of the CRF must be sampled through Markov chain Monte Carlo. This paper develops a perfect sampler for these latent variables employing ideas from the Propp-Wilson algorithm and evaluates its average running time by extensive simulations. The simulations reveal a significant dependence of running time on the parameters of the model, which exhibits sharp transitions. The algorithm is compared to simpler Gibbs sampling procedures, as well as a procedure for unbiased Monte Carlo estimation proposed by Glynn and Rhee. We illustrate its use with an example in microbial genomics studies.