Characteristic Functions of Means of Distributions Chosen from a Dirichlet Process
Yamato, Hajime
Ann. Probab., Tome 12 (1984) no. 4, p. 262-267 / Harvested from Project Euclid
Let $P$ be a Dirichlet process with parameter $\alpha$ on $(R, B)$, where $R$ is the real line, $B$ is the $\sigma$-field of Borel subsets of $R$ and $\alpha$ is a non-null finite measure on $(R, B)$. By the use of characteristic functions we show that if $Q(\cdot) = \alpha(\cdot)/\alpha(R)$ is a Cauchy distribution then the mean $\int_R x dP(x)$ has the same Cauchy distribution and that if $Q$ is normal then the distribution of the mean can be roughly approximated by a normal distribution. If the 1st moment of $Q$ exists, then the distribution of the mean is different from $Q$ except for a degenerate case. Similar results hold also in the multivariate case.
Publié le : 1984-02-14
Classification:  Dirichlet process,  mean,  characteristic function,  60K99,  60E05
@article{1176993389,
     author = {Yamato, Hajime},
     title = {Characteristic Functions of Means of Distributions Chosen from a Dirichlet Process},
     journal = {Ann. Probab.},
     volume = {12},
     number = {4},
     year = {1984},
     pages = { 262-267},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993389}
}
Yamato, Hajime. Characteristic Functions of Means of Distributions Chosen from a Dirichlet Process. Ann. Probab., Tome 12 (1984) no. 4, pp.  262-267. http://gdmltest.u-ga.fr/item/1176993389/