Negative Binomial Construction of Random Discrete Distributions on the Infinite Simplex

MaRDI QIDQ4559029zbMATH OpenFDO

Authors Yuguang Ipsen, Ross A. Maller

Publication date 30 November 2018

Full work available at URL https://arxiv.org/abs/1802.02655, http://tsp.imath.kiev.ua/files/2220/art2220_04.pdf

zbMATH Keywords

mixing distributionPoisson-Dirichlet distributionPoisson-Kingman distributionstick-breaking and size-biased constructionstrimmed alpha-stable subordinator

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: The Poisson-Kingman distributions, $mathrmPK(ho)$, on the infinite simplex, can be constructed from a Poisson point process having intensity density $ho$ or by taking the ranked jumps up till a specified time of a subordinator with L'evy density $ho$, as proportions of the subordinator. As a natural extension, we replace the Poisson point process with a negative binomial point process having parameter $r>0$ and L'evy density $ho$, thereby defining a new class $mathrm{PK}^{(r)}(ho)$ of distributions on the infinite simplex. The new class contains the two-parameter generalisation $mathrmPD(alpha,heta)$ of Pitman and Yor (1997) when $heta>0$. It also contains a class of distributions derived from the trimmed stable subordinator. We derive properties of the new distributions, with particular reference to the two most well-known $mathrmPK$ distributions: the Poisson-Dirichlet distribution $mathrmPK(h{o}_{h}eta)$ generated by a Gamma process with L'evy density $h{o}_{h}eta(x)=heta{e}^{-x}/x$, $x>0$, $heta>0$, and the random discrete distribution, $mathrmPD(alpha,0)$, derived from an $alpha$-stable subordinator.

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