  Completely random measures (CRM) represent the key building block of a wide
variety of popular stochastic models and play a pivotal role in modern Bayesian
Nonparametrics. A popular representation of CRMs as a random series with
decreasing jumps is due to Ferguson and Klass (1972). This can immediately be
turned into an algorithm for sampling realizations of CRMs or more elaborate
models involving transformed CRMs. However, concrete implementation requires to
truncate the random series at some threshold resulting in an approximation
error. The goal of this paper is to quantify the quality of the approximation
by a moment-matching criterion, which consists in evaluating a measure of
discrepancy between actual moments and moments based on the simulation output.
Seen as a function of the truncation level, the methodology can be used to
determine the truncation level needed to reach a certain level of precision.
The resulting moment-matching \FK algorithm is then implemented and illustrated
on several popular Bayesian nonparametric models.
