Characteristic functionals of Dirichlet measures

DOI10.1214/19-EJP371MaRDI QIDQ2279308zbMATH OpenFDO

Authors Lorenzo Dello Schiavo

Publication date 12 December 2019

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1810.09790, https://projecteuclid.org/euclid.ejp/1570759240

zbMATH Keywords

Dirichlet distributioncycle index polynomialsLauricella hypergeometric functionsdynamical symmetry algebrasDirichlet-Ferguson measure

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Characterization and structure theory of statistical distributions (62E10) Random measures (60G57) Appell, Horn and Lauricella functions (33C65) Distributions on infinite-dimensional spaces (46F25) Hypergeometric functions associated with root systems (33C67)

Abstract: We compute characteristic functionals of Dirichlet-Ferguson measures over a locally compact Polish space and prove continuous dependence of the random measure on the parameter measure. In finite dimension, we identify the dynamical symmetry algebra of the characteristic functional of the Dirichlet distribution with a simple Lie algebra of type $A$. We study the lattice determined by characteristic functionals of categorical Dirichlet posteriors, showing that it has a natural structure of weight Lie algebra module and providing a probabilistic interpretation. A partial generalization to the case of the Dirichlet-Ferguson measure is also obtained.

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Cited in

(9)

• Distribution of functionals of a Ferguson-Dirichlet process over an n-dimensional ball
• An integration by parts formula for functionals of the Dirichlet-ferguson measure, and applications
• A representation for characteristic functionals of stable random measures with values in Sazonov spaces
• A Rademacher-type theorem on \(L^2\)-Wasserstein spaces over closed Riemannian manifolds
• Characteristic functional of a probability measure absolutely continuous with respect to a Gaussian Radon measure
• A Mecke-type characterization of the Dirichlet-Ferguson measure
• A new multivariate transform and the distribution of a random functional of a Ferguson-Dirichlet process
• The Dirichlet-Ferguson diffusion on the space of probability measures over a closed Riemannian manifold
• Characterizations of the Dirichlet-type space

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