Perpetuity property of the Dirichlet distribution
Abstract
Let , and be three Dirichlet, Bernoulli and beta independent random variables such that such that with and such that We prove that This gives the stationary distribution of a simple Markov chain on a tetrahedron. We also extend this result to the case when follows a quasi Bernoulli distribution on the tetrahedron and when . We extend it even more generally to the case where is a Dirichlet process and is a quasi Bernoulli random probability. Finally the case where the integer is replaced by a positive number is considered when \textsc{Keywords} \textit{Perpetuities, Dirichlet process, Ewens distribution, quasi Bernoulli laws, probabilities on a tetrahedron, transform, stationary distribution.} AMS classification 60J05, 60E99.
Keywords
Cite
@article{arxiv.1204.2315,
title = {Perpetuity property of the Dirichlet distribution},
author = {Pawel Hitczenko and Gerard Letac},
journal= {arXiv preprint arXiv:1204.2315},
year = {2012}
}
Comments
18 pages