Generalized Rank Dirichlet distributions

DOI10.1016/J.SPL.2023.109950MaRDI QIDQ6192366zbMATH OpenOpenAlexFDO

Authors David Itkin

Publication date 12 February 2024

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2302.13707

zbMATH Keywords

Dirichlet distributionexponential distributionordered simplexPoisson-Dirichlet distributionranked weights

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Order statistics; empirical distribution functions (62G30) Microeconomic theory (price theory and economic markets) (91B24)

Abstract: We introduce a new parametric family of distributions on the ordered simplex $yinmathbb{R}^d:y_{1}geqdotsgeq{y}_{d}geq0,su{m}_{k=1}^d{y}_k=1$, which we call Generalized Rank Dirichlet (GRD) distributions. Their density is proportionate to $pro{d}_{k=1}^d{y}_k^{a_k-1}$ for a parameter $ainmathbb{R}^d$ satisfying $a_k+a_{k+1}+dots+a_d>0$ for $k=2,dots,d$. Random variables of this type have been used to model ranked order statistics for positive weights that sum to one. We establish a change of measure formula that relates GRD distributions with different parameters to each other. Leveraging connections to independent exponential random variables we are able to obtain explicit expressions for moments of order $MinmathbbN$ for the weights $Y_k$'s and moments of all orders for the log gaps $Z_k=log{Y}_{k-1}-log{Y}_k$ when $a_1+dots+a_d=-M$ for any dimension $d$. Additionally, we propose an algorithm to exactly simulate random variates in this case. In the general case when $a_1+dots+a_{d}inmathbbR$ we obtain series representations for the same quantities and provide an approximate simulation algorithm.

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Cites work

• Atlas models of equity markets
• Hybrid Atlas models
• One-dimensional Brownian particle systems with rank-dependent drifts
• The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator

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