Means of a Dirichlet process and multiple hypergeometric functions.

DOI10.1214/009117904000000270MaRDI QIDQ1879833zbMATH OpenOpenAlexFDO

Authors A. Lijoi, Eugenio Regazzini

Publication date 15 September 2004

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0410151

zbMATH Keywords

gamma processLauricella functionMarkov-Krein identityrandom meanLevy-Khinchin representation

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Probabilistic potential theory (60J45) Appell, Horn and Lauricella functions (33C65)

Abstract: The Lauricella theory of multiple hypergeometric functions is used to shed some light on certain distributional properties of the mean of a Dirichlet process. This approach leads to several results, which are illustrated here. Among these are a new and more direct procedure for determining the exact form of the distribution of the mean, a correspondence between the distribution of the mean and the parameter of a Dirichlet process, a characterization of the family of Cauchy distributions as the set of the fixed points of this correspondence, and an extension of the Markov-Krein identity. Moreover, an expression of the characteristic function of the mean of a Dirichlet process is obtained by resorting to an integral representation of a confluent form of the fourth Lauricella function. This expression is then employed to prove that the distribution of the mean of a Dirichlet process is symmetric if and only if the parameter of the process is symmetric, and to provide a new expression of the moment generating function of the variance of a Dirichlet process.

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Cited in

(34)

• Specification of the Base Measure of Nonparametric Priors via Random Means
• An integration by parts formula for functionals of the Dirichlet-ferguson measure, and applications
• Dirichlet mean identities and laws of a class of subordinators
• Bayesian nonparametric analysis for a generalized Dirichlet process prior
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