Random weighted averages, partition structures and generalized arcsine laws

Publication date 21 April 2018

Probability theory and stochastic processes (60-XX)

Abstract: This article offers a simplified approach to the distribution theory of randomly weighted averages or

P

-means

M_{P} (X) := s u m_{j} X_{j} P_{j}

, for a sequence of i.i.d.random variables

X, X_{1}, X_{2}, l d o t s

, and independent random weights

P := (P_{j})

with

P_{j} g e 0

and

s u m_{j} P_{j} = 1

. The collection of distributions of

M_{P} (X)

, indexed by distributions of

X

, is shown to encode Kingman's partition structure derived from

P

. For instance, if

X_{p}

has Bernoulli

(p)

distribution on

0, 1

, the

n

th moment of

M_{P} (X_{p})

is a polynomial function of

p

which equals the probability generating function of the number

K_{n}

of distinct values in a sample of size

n

from

P

:

E (M_{P} (X_{p}))^{n} = E p^{K_{n}}

. This elementary identity illustrates a general moment formula for

P

-means in terms of the partition structure associated with random samples from

P

, first developed by Diaconis and Kemperman (1996) and Kerov (1998) in terms of random permutations. As shown by Tsilevich (1997) if the partition probabilities factorize in a way characteristic of the generalized Ewens sampling formula with two parameters

(a l p h a, h e t a)

, found by Pitman (1992), then the moment formula yields the Cauchy-Stieltjes transform of an

(a l p h a, h e t a)

mean. The analysis of these random means includes the characterization of

(0, h e t a)

-means, known as Dirichlet means, due to Von Neumann (1941), Watson (1956) and Cifarelli and Regazzini (1990) and generalizations of L'evy's arcsine law for the time spent positive by a Brownian motion, due to Darling (1949) Lamperti (1958) and Barlow, Pitman and Yor (1989).

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