A probability distribution on the simplex
where determined by the probability density
where is the gamma-function. If , one has a special case of the Dirichlet distribution: the beta-distribution. The Dirichlet distribution plays an important role in the theory of order statistics. For instance, if are independent random variables that are uniformly distributed over the interval and are the corresponding order statistics (cf. Order statistic), the joint distribution of the differences
(it is assumed that ) has the Dirichlet distribution with , , .
|||S.S. Wilks, "Mathematical statistics" , Wiley (1962)|
|[a1]||T.S. Ferguson, "A Bayesian analysis of some nonparametric problems" Ann. Stat. , 1 (1973) pp. 209–230|
Dirichlet distribution. L.N. Bol'shev (originator), Encyclopedia of Mathematics. URL: http://www.encyclopediaofmath.org/index.php?title=Dirichlet_distribution&oldid=14736