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.

A stochastic equation for the law of the random Dirichlet variance

EPIFANI, ILENIA;GUGLIELMI, ALESSANDRA;
2006

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.
Distributions of functionals of Dirichlet processes; Integral transforms; Moments of a distribution; Stochastic equation
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11311/553292
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