A simple procedure calculating the generalized Stieltjes transform of the mean of a Dirichlet process (Q1265980): Difference between revisions
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Revision as of 13:26, 12 February 2024
scientific article
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English | A simple procedure calculating the generalized Stieltjes transform of the mean of a Dirichlet process |
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A simple procedure calculating the generalized Stieltjes transform of the mean of a Dirichlet process (English)
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12 July 1999
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Let \(P_\alpha\) denote a Dirichlet process with parameter \(\alpha\) on the real line; i.e., \(P_\alpha\) is a random measure on \(\mathbb{R}\) such that, for any partition \(A_1,\dots, A_n\) of \(\mathbb{R}\), the vector \(P_\alpha(A_1),\dots, P_\alpha(A_n)\) has a Dirichlet distribution with parameters \(\alpha(A_1),\dots,\alpha(A_n)\). The distribution of the mean \(\Gamma_\alpha=\int x P_\alpha(dx)\) of \(P_\alpha\) was obtained by \textit{D. M. Cifarelli} and \textit{E. Regazzini} [Ann. Stat. 18, No. 1, 429-442 (1990; Zbl 0706.62012)] through calculating the generalized Stieltjes transform of \(\Gamma_\alpha\). The short note under review now suggests a simplified calculation based on an integral equation for the Laplace transform of \(\Gamma_\alpha\).
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Dirichlet process
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random measure
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generalized Stieltjes transform
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