The Annals of Probability

Characteristic Functions of Means of Distributions Chosen from a Dirichlet Process

Hajime Yamato

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Abstract

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.

Article information

Source
Ann. Probab., Volume 12, Number 1 (1984), 262-267.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176993389

Digital Object Identifier
doi:10.1214/aop/1176993389

Mathematical Reviews number (MathSciNet)
MR723745

Zentralblatt MATH identifier
0535.60012

JSTOR
links.jstor.org

Subjects
Primary: 60K99: None of the above, but in this section
Secondary: 60E05: Distributions: general theory

Keywords
Dirichlet process mean characteristic function

Citation

Yamato, Hajime. Characteristic Functions of Means of Distributions Chosen from a Dirichlet Process. Ann. Probab. 12 (1984), no. 1, 262--267. doi:10.1214/aop/1176993389. https://projecteuclid.org/euclid.aop/1176993389


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