The Exciting Guide to Probability Distributions – Part 2
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Connection Between Dirichlet Distributions and a Scale-Invariant Probabilistic Model Based on Leibniz-Like Pyramids
Home Search Collections Journals About Contact us My IOPscience Connection between Dirichlet distributions and a scale-invariant probabilistic model based on Leibniz-like pyramids This content has been downloaded from IOPscience. Please scroll down to see the full text. View the table of contents for this issue, or go to the journal homepage for more Download details: IP Address: 152.84.125.254 This content was downloaded on 22/12/2014 at 23:17 Please note that terms and conditions apply. Journal of Statistical Mechanics: Theory and Experiment Connection between Dirichlet distributions and a scale-invariant probabilistic model based on J. Stat. Mech. Leibniz-like pyramids A Rodr´ıguez1 and C Tsallis2,3 1 Departamento de Matem´atica Aplicada a la Ingenier´ıa Aeroespacial, Universidad Polit´ecnica de Madrid, Pza. Cardenal Cisneros s/n, 28040 Madrid, Spain 2 Centro Brasileiro de Pesquisas F´ısicas and Instituto Nacional de Ciˆencia e Tecnologia de Sistemas Complexos, Rua Xavier Sigaud 150, 22290-180 Rio de Janeiro, Brazil (2014) P12027 3 Santa Fe Institute, 1399 Hyde Park Road, Santa Fe, NM 87501, USA E-mail: [email protected] and [email protected] Received 4 November 2014 Accepted for publication 30 November 2014 Published 22 December 2014 Online at stacks.iop.org/JSTAT/2014/P12027 doi:10.1088/1742-5468/2014/12/P12027 Abstract. We show that the N limiting probability distributions of a recently introduced family of d→∞-dimensional scale-invariant probabilistic models based on Leibniz-like (d + 1)-dimensional hyperpyramids (Rodr´ıguez and Tsallis 2012 J. Math. Phys. 53 023302) are given by Dirichlet distributions for d = 1, 2, ... -
On Two-Echelon Inventory Systems with Poisson Demand and Lost Sales
View metadata, citation and similar papers at core.ac.uk brought to you by CORE provided by Universiteit Twente Repository On two-echelon inventory systems with Poisson demand and lost sales Elisa Alvarez, Matthieu van der Heijden Beta Working Paper series 366 BETA publicatie WP 366 (working paper) ISBN ISSN NUR 804 Eindhoven December 2011 On two-echelon inventory systems with Poisson demand and lost sales Elisa Alvarez Matthieu van der Heijden University of Twente University of Twente The Netherlands1 The Netherlands 2 Abstract We derive approximations for the service levels of two-echelon inventory systems with lost sales and Poisson demand. Our method is simple and accurate for a very broad range of problem instances, including cases with both high and low service levels. In contrast, existing methods only perform well for limited problem settings, or under restrictive assumptions. Key words: inventory, spare parts, lost sales. 1 Introduction We consider a two-echelon inventory system for spare part supply chains, consisting of a single central depot and multiple local warehouses. Demand arrives at each local warehouse according to a Poisson process. Each location controls its stocks using a one-for-one replenishment policy. Demand that cannot be satisfied from stock is served using an emergency shipment from an external source with infinite supply and thus lost to the system. It is well-known that the analysis of such lost sales inventory systems is more complex than the equivalent with full backordering (Bijvank and Vis [3]). In particular, the analysis of the central depot is complex, since (i) the order process is not Poisson, and (ii) the order arrival rate depends on the inventory states of the local warehouses: Local warehouses only generate replenishment orders if they have stock on hand. -
Distance Between Multinomial and Multivariate Normal Models
Chapter 9 Distance between multinomial and multivariate normal models SECTION 1 introduces Andrew Carter’s recursive procedure for bounding the Le Cam distance between a multinomialmodelandits approximating multivariatenormal model. SECTION 2 develops notation to describe the recursive construction of randomizations via conditioning arguments, then proves a simple Lemma that serves to combine the conditional bounds into a single recursive inequality. SECTION 3 applies the results from Section 2 to establish the bound involving randomization of the multinomial distribution in Carter’s inequality. SECTION 4 sketches the argument for the bound involving randomization of the multivariate normalin Carter’s inequality. SECTION 5 outlines the calculation for bounding the Hellinger distance between a smoothed Binomialand its approximating normaldistribution. 1. Introduction The multinomial distribution M(n,θ), where θ := (θ1,...,θm ), is the probability m measure on Z+ defined by the joint distribution of the vector of counts in m cells obtained by distributing n balls independently amongst the cells, with each ball assigned to a cell chosen from the distribution θ. The variance matrix nVθ corresponding to M(n,θ) has (i, j)th element nθi {i = j}−nθi θj . The central limit theorem ensures that M(n,θ) is close to the N(nθ,nVθ ), in the sense of weak convergence, for fixed m when n is large. In his doctoral dissertation, Andrew Carter (2000a) considered the deeper problem of bounding the Le Cam distance (M, N) between models M :={M(n,θ) : θ ∈ } and N :={N(nθ,nVθ ) : θ ∈ }, under mild regularity assumptions on . For example, he proved that m log m maxi θi <1>(M, N) ≤ C √ provided sup ≤ C < ∞, n θ∈ mini θi for a constant C that depends only on C. -
Distribution of Mutual Information
Distribution of Mutual Information Marcus Hutter IDSIA, Galleria 2, CH-6928 Manno-Lugano, Switzerland [email protected] http://www.idsia.ch/-marcus Abstract The mutual information of two random variables z and J with joint probabilities {7rij} is commonly used in learning Bayesian nets as well as in many other fields. The chances 7rij are usually estimated by the empirical sampling frequency nij In leading to a point es timate J(nij In) for the mutual information. To answer questions like "is J (nij In) consistent with zero?" or "what is the probability that the true mutual information is much larger than the point es timate?" one has to go beyond the point estimate. In the Bayesian framework one can answer these questions by utilizing a (second order) prior distribution p( 7r) comprising prior information about 7r. From the prior p(7r) one can compute the posterior p(7rln), from which the distribution p(Iln) of the mutual information can be cal culated. We derive reliable and quickly computable approximations for p(Iln). We concentrate on the mean, variance, skewness, and kurtosis, and non-informative priors. For the mean we also give an exact expression. Numerical issues and the range of validity are discussed. 1 Introduction The mutual information J (also called cross entropy) is a widely used information theoretic measure for the stochastic dependency of random variables [CT91, SooOO] . It is used, for instance, in learning Bayesian nets [Bun96, Hec98] , where stochasti cally dependent nodes shall be connected. The mutual information defined in (1) can be computed if the joint probabilities {7rij} of the two random variables z and J are known. -
Lecture 24: Dirichlet Distribution and Dirichlet Process
Stat260: Bayesian Modeling and Inference Lecture Date: April 28, 2010 Lecture 24: Dirichlet distribution and Dirichlet Process Lecturer: Michael I. Jordan Scribe: Vivek Ramamurthy 1 Introduction In the last couple of lectures, in our study of Bayesian nonparametric approaches, we considered the Chinese Restaurant Process, Bayesian mixture models, stick breaking, and the Dirichlet process. Today, we will try to gain some insight into the connection between the Dirichlet process and the Dirichlet distribution. 2 The Dirichlet distribution and P´olya urn First, we note an important relation between the Dirichlet distribution and the Gamma distribution, which is used to generate random vectors which are Dirichlet distributed. If, for i ∈ {1, 2, · · · , K}, Zi ∼ Gamma(αi, β) independently, then K K S = Zi ∼ Gamma αi, β i=1 i=1 ! X X and V = (V1, · · · ,VK ) = (Z1/S, · · · ,ZK /S) ∼ Dir(α1, · · · , αK ) Now, consider the following P´olya urn model. Suppose that • Xi - color of the ith draw • X - space of colors (discrete) • α(k) - number of balls of color k initially in urn. We then have that α(k) + j<i δXj (k) p(Xi = k|X1, · · · , Xi−1) = α(XP) + i − 1 where δXj (k) = 1 if Xj = k and 0 otherwise, and α(X ) = k α(k). It may then be shown that P n α(x1) α(xi) + j<i δXj (xi) p(X1 = x1, X2 = x2, · · · , X = x ) = n n α(X ) α(X ) + i − 1 i=2 P Y α(1)[α(1) + 1] · · · [α(1) + m1 − 1]α(2)[α(2) + 1] · · · [α(2) + m2 − 1] · · · α(C)[α(C) + 1] · · · [α(C) + m − 1] = C α(X )[α(X ) + 1] · · · [α(X ) + n − 1] n where 1, 2, · · · , C are the distinct colors that appear in x1, · · · ,xn and mk = i=1 1{Xi = k}. -
Stat 5101 Lecture Slides: Deck 8 Dirichlet Distribution
Stat 5101 Lecture Slides: Deck 8 Dirichlet Distribution Charles J. Geyer School of Statistics University of Minnesota This work is licensed under a Creative Commons Attribution- ShareAlike 4.0 International License (http://creativecommons.org/ licenses/by-sa/4.0/). 1 The Dirichlet Distribution The Dirichlet Distribution is to the beta distribution as the multi- nomial distribution is to the binomial distribution. We get it by the same process that we got to the beta distribu- tion (slides 128{137, deck 3), only multivariate. Recall the basic theorem about gamma and beta (same slides referenced above). 2 The Dirichlet Distribution (cont.) Theorem 1. Suppose X and Y are independent gamma random variables X ∼ Gam(α1; λ) Y ∼ Gam(α2; λ) then U = X + Y V = X=(X + Y ) are independent random variables and U ∼ Gam(α1 + α2; λ) V ∼ Beta(α1; α2) 3 The Dirichlet Distribution (cont.) Corollary 1. Suppose X1;X2;:::; are are independent gamma random variables with the same shape parameters Xi ∼ Gam(αi; λ) then the following random variables X1 ∼ Beta(α1; α2) X1 + X2 X1 + X2 ∼ Beta(α1 + α2; α3) X1 + X2 + X3 . X1 + ··· + Xd−1 ∼ Beta(α1 + ··· + αd−1; αd) X1 + ··· + Xd are independent and have the asserted distributions. 4 The Dirichlet Distribution (cont.) From the first assertion of the theorem we know X1 + ··· + Xk−1 ∼ Gam(α1 + ··· + αk−1; λ) and is independent of Xk. Thus the second assertion of the theorem says X1 + ··· + Xk−1 ∼ Beta(α1 + ··· + αk−1; αk)(∗) X1 + ··· + Xk and (∗) is independent of X1 + ··· + Xk. That proves the corollary. 5 The Dirichlet Distribution (cont.) Theorem 2. -
Parameter Specification of the Beta Distribution and Its Dirichlet
%HWD'LVWULEXWLRQVDQG,WV$SSOLFDWLRQV 3DUDPHWHU6SHFLILFDWLRQRIWKH%HWD 'LVWULEXWLRQDQGLWV'LULFKOHW([WHQVLRQV 8WLOL]LQJ4XDQWLOHV -5HQpYDQ'RUSDQG7KRPDV$0D]]XFKL (Submitted January 2003, Revised March 2003) I. INTRODUCTION.................................................................................................... 1 II. SPECIFICATION OF PRIOR BETA PARAMETERS..............................................5 A. Basic Properties of the Beta Distribution...............................................................6 B. Solving for the Beta Prior Parameters...................................................................8 C. Design of a Numerical Procedure........................................................................12 III. SPECIFICATION OF PRIOR DIRICHLET PARAMETERS................................. 17 A. Basic Properties of the Dirichlet Distribution...................................................... 18 B. Solving for the Dirichlet prior parameters...........................................................20 IV. SPECIFICATION OF ORDERED DIRICHLET PARAMETERS...........................22 A. Properties of the Ordered Dirichlet Distribution................................................. 23 B. Solving for the Ordered Dirichlet Prior Parameters............................................ 25 C. Transforming the Ordered Dirichlet Distribution and Numerical Stability ......... 27 V. CONCLUSIONS........................................................................................................ 31 APPENDIX................................................................................................................... -
556: MATHEMATICAL STATISTICS I 1 the Multinomial Distribution the Multinomial Distribution Is a Multivariate Generalization of T
556: MATHEMATICAL STATISTICS I MULTIVARIATE PROBABILITY DISTRIBUTIONS 1 The Multinomial Distribution The multinomial distribution is a multivariate generalization of the binomial distribution. The binomial distribution can be derived from an “infinite urn” model with two types of objects being sampled without replacement. Suppose that the proportion of “Type 1” objects in the urn is θ (so 0 · θ · 1) and hence the proportion of “Type 2” objects in the urn is 1 ¡ θ. Suppose that n objects are sampled, and X is the random variable corresponding to the number of “Type 1” objects in the sample. Then X » Bin(n; θ). Now consider a generalization; suppose that the urn contains k + 1 types of objects (k = 1; 2; :::), with θi being the proportion of Type i objects, for i = 1; :::; k + 1. Let Xi be the random variable corresponding to the number of type i objects in a sample of size n, for i = 1; :::; k. Then the joint T pmf of vector X = (X1; :::; Xk) is given by e n! n! kY+1 f (x ; :::; x ) = θx1 ....θxk θxk+1 = θxi X1;:::;Xk 1 k x !:::x !x ! 1 k k+1 x !:::x !x ! i 1 k k+1 1 k k+1 i=1 where 0 · θi · 1 for all i, and θ1 + ::: + θk + θk+1 = 1, and where xk+1 is defined by xk+1 = n ¡ (x1 + ::: + xk): This is the mass function for the multinomial distribution which reduces to the binomial if k = 1. 2 The Dirichlet Distribution The Dirichlet distribution is a multivariate generalization of the Beta distribution. -
Probability Distributions and Related Mathematical Constructs
Appendix B More probability distributions and related mathematical constructs This chapter covers probability distributions and related mathematical constructs that are referenced elsewhere in the book but aren’t covered in detail. One of the best places for more detailed information about these and many other important probability distributions is Wikipedia. B.1 The gamma and beta functions The gamma function Γ(x), defined for x> 0, can be thought of as a generalization of the factorial x!. It is defined as ∞ x 1 u Γ(x)= u − e− du Z0 and is available as a function in most statistical software packages such as R. The behavior of the gamma function is simpler than its form may suggest: Γ(1) = 1, and if x > 1, Γ(x)=(x 1)Γ(x 1). This means that if x is a positive integer, then Γ(x)=(x 1)!. − − − The beta function B(α1,α2) is defined as a combination of gamma functions: Γ(α1)Γ(α2) B(α ,α ) def= 1 2 Γ(α1+ α2) The beta function comes up as a normalizing constant for beta distributions (Section 4.4.2). It’s often useful to recognize the following identity: 1 α1 1 α2 1 B(α ,α )= x − (1 x) − dx 1 2 − Z0 239 B.2 The Poisson distribution The Poisson distribution is a generalization of the binomial distribution in which the number of trials n grows arbitrarily large while the mean number of successes πn is held constant. It is traditional to write the mean number of successes as λ; the Poisson probability density function is λy P (y; λ)= eλ (y =0, 1,.. -
Generalized Dirichlet Distributions on the Ball and Moments
Generalized Dirichlet distributions on the ball and moments F. Barthe,∗ F. Gamboa,† L. Lozada-Chang‡and A. Rouault§ September 3, 2018 Abstract The geometry of unit N-dimensional ℓp balls (denoted here by BN,p) has been intensively investigated in the past decades. A particular topic of interest has been the study of the asymptotics of their projections. Apart from their intrinsic interest, such questions have applications in several probabilistic and geometric contexts [BGMN05]. In this paper, our aim is to revisit some known results of this flavour with a new point of view. Roughly speaking, we will endow BN,p with some kind of Dirichlet distribution that generalizes the uniform one and will follow the method developed in [Ski67], [CKS93] in the context of the randomized moment space. The main idea is to build a suitable coordinate change involving independent random variables. Moreover, we will shed light on connections between the randomized balls and the randomized moment space. n Keywords: Moment spaces, ℓp -balls, canonical moments, Dirichlet dis- tributions, uniform sampling. AMS classification: 30E05, 52A20, 60D05, 62H10, 60F10. arXiv:1002.1544v2 [math.PR] 21 Oct 2010 1 Introduction The starting point of our work is the study of the asymptotic behaviour of the moment spaces: 1 [0,1] j MN = t µ(dt) : µ ∈M1([0, 1]) , (1) (Z0 1≤j≤N ) ∗Equipe de Statistique et Probabilit´es, Institut de Math´ematiques de Toulouse (IMT) CNRS UMR 5219, Universit´ePaul-Sabatier, 31062 Toulouse cedex 9, France. e-mail: [email protected] †IMT e-mail: [email protected] ‡Facultad de Matem´atica y Computaci´on, Universidad de la Habana, San L´azaro y L, Vedado 10400 C.Habana, Cuba. -
Spatially Constrained Student's T-Distribution Based Mixture Model
J Math Imaging Vis (2018) 60:355–381 https://doi.org/10.1007/s10851-017-0759-8 Spatially Constrained Student’s t-Distribution Based Mixture Model for Robust Image Segmentation Abhirup Banerjee1 · Pradipta Maji1 Received: 8 January 2016 / Accepted: 5 September 2017 / Published online: 21 September 2017 © Springer Science+Business Media, LLC 2017 Abstract The finite Gaussian mixture model is one of the Keywords Segmentation · Student’s t-distribution · most popular frameworks to model classes for probabilistic Expectation–maximization · Hidden Markov random field model-based image segmentation. However, the tails of the Gaussian distribution are often shorter than that required to model an image class. Also, the estimates of the class param- 1 Introduction eters in this model are affected by the pixels that are atypical of the components of the fitted Gaussian mixture model. In In image processing, segmentation refers to the process this regard, the paper presents a novel way to model the image of partitioning an image space into some non-overlapping as a mixture of finite number of Student’s t-distributions for meaningful homogeneous regions. It is an indispensable step image segmentation problem. The Student’s t-distribution for many image processing problems, particularly for med- provides a longer tailed alternative to the Gaussian distri- ical images. Segmentation of brain images into three main bution and gives reduced weight to the outlier observations tissue classes, namely white matter (WM), gray matter (GM), during the parameter estimation step in finite mixture model. and cerebro-spinal fluid (CSF), is important for many diag- Incorporating the merits of Student’s t-distribution into the nostic studies. -
Expansion of the Kullback-Leibler Divergence, and a New Class of Information Metrics
axioms Article Expansion of the Kullback-Leibler Divergence, and a New Class of Information Metrics David J. Galas 1,*, Gregory Dewey 2, James Kunert-Graf 1 and Nikita A. Sakhanenko 1 1 Pacific Northwest Research Institute, 720 Broadway, Seattle, WA 98122, USA; [email protected] (J.K.-G.); [email protected] (N.A.S.) 2 Albany College of Pharmacy and Health Sciences, 106 New Scotland Avenue, Albany, NY 12208, USA; [email protected] * Correspondence: [email protected] Academic Editors: Abbe Mowshowitz and Matthias Dehmer Received: 31 January 2017; Accepted: 27 March 2017; Published: 1 April 2017 Abstract: Inferring and comparing complex, multivariable probability density functions is fundamental to problems in several fields, including probabilistic learning, network theory, and data analysis. Classification and prediction are the two faces of this class of problem. This study takes an approach that simplifies many aspects of these problems by presenting a structured, series expansion of the Kullback-Leibler divergence—a function central to information theory—and devise a distance metric based on this divergence. Using the Möbius inversion duality between multivariable entropies and multivariable interaction information, we express the divergence as an additive series in the number of interacting variables, which provides a restricted and simplified set of distributions to use as approximation and with which to model data. Truncations of this series yield approximations based on the number of interacting variables. The first few terms of the expansion-truncation are illustrated and shown to lead naturally to familiar approximations, including the well-known Kirkwood superposition approximation. Truncation can also induce a simple relation between the multi-information and the interaction information.