Mathematics – Probability
Scientific paper
2006-09-18
Annals of Applied Probability 2008, Vol. 18, No. 2, 521-551
Mathematics
Probability
Published in at http://dx.doi.org/10.1214/07-AAP462 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Inst
Scientific paper
10.1214/07-AAP462
The present paper provides exact expressions for the probability distributions of linear functionals of the two-parameter Poisson--Dirichlet process $\operatorname {PD}(\alpha,\theta)$. We obtain distributional results yielding exact forms for density functions of these functionals. Moreover, several interesting integral identities are obtained by exploiting a correspondence between the mean of a Poisson--Dirichlet process and the mean of a suitable Dirichlet process. Finally, some distributional characterizations in terms of mixture representations are proved. The usefulness of the results contained in the paper is demonstrated by means of some illustrative examples. Indeed, our formulae are relevant to occupation time phenomena connected with Brownian motion and more general Bessel processes, as well as to models arising in Bayesian nonparametric statistics.
James Lancelot F.
Lijoi Antonio
Prunster Igor
No associations
LandOfFree
Distributions of linear functionals of two parameter Poisson--Dirichlet random measures does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Distributions of linear functionals of two parameter Poisson--Dirichlet random measures, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Distributions of linear functionals of two parameter Poisson--Dirichlet random measures will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-648325