A fractional generalization of the Dirichlet distribution and related distributions

DOI10.1515/FCA-2021-0006zbMATH Open1474.60030arXiv2101.04481OpenAlexW3120854186MaRDI QIDQ2020227FDOQ2020227

Authors: Federico Polito, Enrico Scalas, E. Di Nardo 

Publication date: 23 April 2021

Published in: Fractional Calculus \ Applied Analysis (Search for Journal in Brave)

Abstract: This paper is devoted to a fractional generalization of the Dirichlet distribution. The form of the multivariate distribution is derived assuming that the $n$ partitions of the interval $[0,W_n]$ are independent and identically distributed random variables following the generalized Mittag-Leffler distribution. The expected value and variance of the one-dimensional marginal are derived as well as the form of its probability density function. A related generalized Dirichlet distribution is studied that provides a reasonable approximation for some values of the parameters. The relation between this distribution and other generalizations of the Dirichlet distribution is discussed. Monte Carlo simulations of the one-dimensional marginals for both distributions are presented.

Full work available at URL: https://arxiv.org/abs/2101.04481

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zbMATH Keywords

wealth distributionfractional Poisson processgeneralized Dirichlet distributionpower-law tailsfractional Dirichlet distributionthree-parameter Mittag-Leffler functions

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Fractional processes, including fractional Brownian motion (60G22) Mittag-Leffler functions and generalizations (33E12)

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Cited In (13)

• Title not available (Why is that?)
• A stochastic diffusion process for Lochner's generalized Dirichlet distribution
• Analytical solutions for fractional partial delay differential-algebraic equations with Dirichlet boundary conditions defined on a finite domain
• A generalization of the Dirichlet distribution
• A New Generalization of the Fréchet Distribution: Properties and Application
• Some extensions of M-fractions related to strong Stieltjes distributions
• Generating the generalized distributions by using fractional calculus
• Gibbs partitions, Riemann-Liouville fractional operators, Mittag-Leffler functions, and fragmentations derived from stable subordinators
• Recovering a distribution from its translated fractional moments
• Generalized Rank Dirichlet distributions
• The Fractional Unit Root Distribution
• Identical Distributions of Single Variates and Random Convex Combinations of Uniform Fractional Order Statistics
• Distribution of the Fractional Parts of Random Vectors: The Gaussian Case. II

Uses Software

• mlrnd

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