Distributions of Functionals of the two Parameter Poisson-Dirichlet Process

Lancelot F. James (), Antonio Lijoi () and Igor Prünster ()

ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research

Abstract: The present paper provides exact expressions for the probability distribution of linear functionals of the two–parameter Poisson–Dirichlet process. Distributional results that follow from the application of an inversion formula for a (generalized) Cauchy–Stieltjes transform are achieved. Moreover, several interesting integral identities are obtained by exploiting a correspondence between the mean functional of a Poisson–Dirichlet process and the mean functional of a suitable Dirichlet process. Finally, some distributional characterizations in terms of mixture representations are illustrated. 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.

Keywords: Cauchy–Stieltjes transform; Cifarelli–Regazzini identity; Functionals of random probability measures; Occupation times; Two parameter Poisson-Dirichlet process. (search for similar items in EconPapers)
Pages: 31 pages
Date: 2006-07
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Persistent link: https://EconPapers.repec.org/RePEc:icr:wpmath:29-2006

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