Multiple integral representation for functionals of Dirichlet processes

DOI10.3150/07-BEJ5169MaRDI QIDQ1002577zbMATH OpenFDO

Authors Giovanni Peccati

Publication date 2 March 2009

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0803.1029

zbMATH Keywords

\(U\)-statisticsBayesian statisticschaotic representationDirichlet processexchangeabilityJacobi polynomialsmultiple integralsurn sequences

Mathematics Subject Classification ID

Exchangeability for stochastic processes (60G09) Stochastic analysis (60H99) Bayesian inference (62F15)

Abstract: We point out that a proper use of the Hoeffding--ANOVA decomposition for symmetric statistics of finite urn sequences, previously introduced by the author, yields a decomposition of the space of square-integrable functionals of a Dirichlet--Ferguson process, written $L^2(D)$, into orthogonal subspaces of multiple integrals of increasing order. This gives an isomorphism between $L^2(D)$ and an appropriate Fock space over a class of deterministic functions. By means of a well-known result due to Blackwell and MacQueen, we show that each element of the $n$th orthogonal space of multiple integrals can be represented as the $L^2$ limit of $U$-statistics with degenerate kernel of degree $n$. General formulae for the decomposition of a given functional are provided in terms of linear combinations of conditioned expectations whose coefficients are explicitly computed. We show that, in simple cases, multiple integrals have a natural representation in terms of Jacobi polynomials. Several connections are established, in particular with Bayesian decision problems, and with some classic formulae concerning the transition densities of multiallele diffusion models, due to Littler and Fackerell, and Griffiths. Our results may also be used to calculate the best approximation of elements of $L^2(D)$ by means of $U$-statistics of finite vectors of exchangeable observations.

Recommendations

• Hoeffding decompositions for exchangeable sequences and chaotic representation of functionals of Dirichlet processes.
• Functionals of Dirichlet processes, the Cifarelli-Regazzini identity and beta-gamma processes
• Moment-based approximations for the law of functionals of Dirichlet processes
• A new multivariate transform and the distribution of a random functional of a Ferguson-Dirichlet process
• Linear functionals and Markov chains associated with Dirichlet processes

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Cited in

(13)

• Integrability of functionals of Dirichlet processes, probabilistic representations of semigroups, and estimates of heat kernels
• Hoeffding decompositions for exchangeable sequences and chaotic representation of functionals of Dirichlet processes.
• Orthogonal polynomial kernels and canonical correlations for Dirichlet measures
• Characteristic functionals of Dirichlet measures
• Distributions of linear functionals of two parameter Poisson-Dirichlet random measures
• Hoeffding decompositions and urn sequences
• An integration by parts formula for functionals of the Dirichlet-ferguson measure, and applications
• Moment-based approximations for the law of functionals of Dirichlet processes
• Exchangeable Hoeffding decompositions over finite sets: a combinatorial characterization and counterexamples
• On the posterior distribution of classes of random means
• Quantitative multidimensional central limit theorems for means of the Dirichlet-Ferguson measure
• Random probability measures with fixed mean distributions
• Distributional properties of means of random probability measures

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