skip to content

Canonical representations for dependent Dirichlet populations

Tuesday 7th August 2007 - 17:00 to 17:30
INI Seminar Room 1

A wide class of Markov processes having a Ferguson-Dirichlet stationary measure is characterized by solving the following problem: fix the eigenfunctions of the generator to be orthogonal polynomials; how do all possible eigenvalues look like? Such a representation reveals a strong connection with the classical Lancaster problem of finding the correlation structure of bivariate distributions with fixed marginals. A similar representation is shown to hold for processes on the discrete simplex with Multinomial-Dirichlet stationary measure. The connection between the two classes of stochastic processes has a strong Bayesian flavour, which stems from a probabilistic derivation of all Multivariate orthogonal polynomials involved.

University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons