An expectation formula for the multivariate Dirichlet distribution
Let \((X_1,\dots, X_n)\) be a vector of random variables following a Dirichlet distribution on \(R^n_+\) with the parameter \((p_1,\dots, p_n)\in R^n_+\). For \(f_1,\dots, f_n>0\), there exists the well-known expectation formula: NEWLINE\[NEWLINEE(f_1X_1+ \cdots+ f_nX_n)^{-(p_1 +\cdots+ p_n)}= \prod^n_{i=1} f_i^{-p_i}.\tag{EF}NEWLINE\]NEWLINE The aim of this paper is to obtain a strong generalization of the (EF) expectation formula to the singular and non-singular multivariate Dirichlet distributions. The new, (EF)-type generalized formula is derived within the context of symmetric cones. The fundamental basis on which the proof of the main result is relying is that the cone of \(n\times n\) positive-definite symmetric matrices (and, more generally, the symmetric cone associated with a simple Jordan algebra) has the structure of a Gelfand pair. Using the framework of symmetric cones, the obtained results are still valid for multivariate Dirichlet distributions on all symmetric cones. Several particular cases of the (EF)-type generalized formula are discussed, and a connection between the obtained results and the theory of multiple hyper-geometric functions is pointed out.
- A formula on multivariate Dirichlet distributions
- A Generalization of the Beta-Distribution
- A transient random walk on stochastic matrices with Dirichlet distributions
- Algèbre de Jordan et ensemble de Wallach. (Jordan algebra and Wallach set)
- An exact decomposition theorem and a unified view of some related distributions for a class of exponential transformation models on symmetric cones
- Covariance hypothesis which are linear in both the covariance and the inverse covariance
- Distribution of eigenvalues in multivariate statistical analysis
- scientific article; zbMATH DE number 3886886 (Why is no real title available?)
- scientific article; zbMATH DE number 3527042 (Why is no real title available?)
- scientific article; zbMATH DE number 3538589 (Why is no real title available?)
- scientific article; zbMATH DE number 715155 (Why is no real title available?)
- scientific article; zbMATH DE number 3433237 (Why is no real title available?)
- scientific article; zbMATH DE number 3232143 (Why is no real title available?)
- Invariant normal models
- Lauricella's hypergeometric function \(F_ D\)
- Multivariate Liouville distributions. IV
- Multivariate splines: a probabilistic perspective
- On singular Wishart and singular multivariate beta distributions
- Proof of the conjectures of H. Uhlig on the singular multivariate beta and the Jacobian of a certain matrix transformation
- Quadratic and inverse regressions for Wishart distributions.
- R. A. Fisher and multivariate analysis
- Random nested tetrahedra
- The Lukacs-Olkin-Rubin characterization of Wishart distributions on symmetric cones
- A formula on multivariate Dirichlet distributions
- Stochastic Ordering of Exponential Family Distributions and Their Mixturesxk
- All Invariant Moments of the Wishart Distribution
- The History of the Dirichlet and Liouville Distributions
- Dirichlet partition on symmetric matrices
- Moment properties of the multivariate Dirichlet distributions
- Characterization of the Dirichlet distribution on symmetric matrices
This page was built for publication: An expectation formula for the multivariate Dirichlet distribution
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5935558)
