English

Perpetuity property of the Dirichlet distribution

Probability 2012-04-12 v1

Abstract

Let XX, BB and YY be three Dirichlet, Bernoulli and beta independent random variables such that XD(a0,...,ad),X\sim \mathcal{D}(a_0,...,a_d), such that Pr(B=(0,...,0,1,0,...,0))=ai/a\Pr(B=(0,...,0,1,0,...,0))=a_i/a with a=i=0daia=\sum_{i=0}^da_i and such that Yβ(1,a).Y\sim \beta(1,a). We prove that XX(1Y)+BY.X\sim X(1-Y)+BY. This gives the stationary distribution of a simple Markov chain on a tetrahedron. We also extend this result to the case when BB follows a quasi Bernoulli distribution Bk(a0,...,ad)\mathcal{B}_k(a_0,...,a_d) on the tetrahedron and when Yβ(k,a)Y\sim \beta(k,a). We extend it even more generally to the case where XX is a Dirichlet process and BB is a quasi Bernoulli random probability. Finally the case where the integer kk is replaced by a positive number cc is considered when a0=...=ad=1.a_0=...=a_d=1. \textsc{Keywords} \textit{Perpetuities, Dirichlet process, Ewens distribution, quasi Bernoulli laws, probabilities on a tetrahedron, TcT_c 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}
}

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18 pages