A stochastic equation for the law of the random Dirichlet variance

I. Epifani, A. Guglielmi and E. Melilli

Statistics & Probability Letters, 2006, vol. 76, issue 5, 495-502

Abstract: This paper shows some new results concerning the law of the random variance V of a Dirichlet process P, expressed as the solution of a stochastic equation involving the squared difference between two independent copies of the mean of P. An explicit solution of this equation is obtained via the Zolotarev transform of V. Moreover, we discuss the correspondence between the distribution of the variance and the parameter of the Dirichlet process with given total mass.

Keywords: Distributions; of; functionals; of; Dirichlet; processes; Integral; transforms; Moments; of; a; distribution; Stochastic; equation (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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