If α is a probability on Rd and t > 0, the Dirichlet random probability Pt - D(tα) is such that for any measurable partition (A0 , Ak) of Rd the random variable (Pt(A0) ,Pt(Ak)) is Dirichlet distributed with parameters (tα(A0), tα(Ak)). If Rd log(1 + x α(dx) < the random variable Rd xPt (dx) of Rd does exist: let μ(tα) be its distribution. The Dirichlet curve associated to the probability α is the map t μ(tα). It has simple properties like limt-0 μ(tα) = α and limtμ(tα) = δm when m = Rd xα(dx) exists. The present paper shows that if m exists and if is a convex function on Rd then t Rd (x)μ(tα)(dx) is a decreasing function, which means that t μ(tα) is decreasing according to the Strassen convex order of probabilities. The second aim of the paper is to prove a group of results around the following question: if μ(tα) = μ(sα) for some 0 ≤ s < t, can we claim that μ is Cauchy distributed in Rd ?

Dirichlet curves, convex order and Cauchy distribution / Letac, Gérard; Piccioni, Mauro. - In: BERNOULLI. - ISSN 1350-7265. - STAMPA. - 24:1(2018), pp. 1-29. [10.3150/15-BEJ765]

Dirichlet curves, convex order and Cauchy distribution

Piccioni, Mauro
2018

Abstract

If α is a probability on Rd and t > 0, the Dirichlet random probability Pt - D(tα) is such that for any measurable partition (A0 , Ak) of Rd the random variable (Pt(A0) ,Pt(Ak)) is Dirichlet distributed with parameters (tα(A0), tα(Ak)). If Rd log(1 + x α(dx) < the random variable Rd xPt (dx) of Rd does exist: let μ(tα) be its distribution. The Dirichlet curve associated to the probability α is the map t μ(tα). It has simple properties like limt-0 μ(tα) = α and limtμ(tα) = δm when m = Rd xα(dx) exists. The present paper shows that if m exists and if is a convex function on Rd then t Rd (x)μ(tα)(dx) is a decreasing function, which means that t μ(tα) is decreasing according to the Strassen convex order of probabilities. The second aim of the paper is to prove a group of results around the following question: if μ(tα) = μ(sα) for some 0 ≤ s < t, can we claim that μ is Cauchy distributed in Rd ?
2018
Cauchy distribution; dirichlet random probability; Strassen convex order; statistics and probability
01 Pubblicazione su rivista::01a Articolo in rivista
Dirichlet curves, convex order and Cauchy distribution / Letac, Gérard; Piccioni, Mauro. - In: BERNOULLI. - ISSN 1350-7265. - STAMPA. - 24:1(2018), pp. 1-29. [10.3150/15-BEJ765]
File allegati a questo prodotto
File Dimensione Formato  
Piccioni_Dirichlet-curves_2018.pdf

accesso aperto

Tipologia: Versione editoriale (versione pubblicata con il layout dell'editore)
Licenza: Tutti i diritti riservati (All rights reserved)
Dimensione 275.78 kB
Formato Adobe PDF
275.78 kB Adobe PDF

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1111442
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 3
  • ???jsp.display-item.citation.isi??? 3
social impact