Functionals of Dirichlet processes, the Cifarelli-Regazzini identity and beta-gamma processes

DOI10.1214/009053604000001237MaRDI QIDQ2388352zbMATH OpenOpenAlexFDO

Authors Lancelot F. James

Publication date 12 September 2005

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

Full work available at URL https://arxiv.org/abs/math/0505606

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric inference (62G99) Inference from stochastic processes (62M99)

Abstract: Suppose that P_{ heta}(g) is a linear functional of a Dirichlet process with shape heta H, where heta >0 is the total mass and H is a fixed probability measure. This paper describes how one can use the well-known Bayesian prior to posterior analysis of the Dirichlet process, and a posterior calculus for Gamma processes to ascertain properties of linear functionals of Dirichlet processes. In particular, in conjunction with a Gamma identity, we show easily that a generalized Cauchy-Stieltjes transform of a linear functional of a Dirichlet process is equivalent to the Laplace functional of a class of, what we define as, Beta-Gamma processes. This represents a generalization of an identity due to Cifarelli and Regazzini, which is also known as the Markov-Krein identity for mean functionals of Dirichlet processes. These results also provide new explanations and interpretations of results in the literature. The identities are analogues to quite useful identities for Beta and Gamma random variables. We give a result which can be used to ascertain specifications on H such that the Dirichlet functional is Beta distributed. This avoids the need for an inversion formula for these cases and points to the special nature of the Dirichlet process, and indeed the functional Beta-Gamma calculus developed in this paper.

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Cited in

(22)

• Multiple integral representation for functionals of Dirichlet processes
• Integrability of functionals of Dirichlet processes, probabilistic representations of semigroups, and estimates of heat kernels
• On the Markov-Krein identity and quasi-invariance of the gamma process
• On a generalized Chu-Vandermonde identity
• Restricted Indian buffet processes
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