A revisit of the distribution of linear combinations of Dirichlet components

ABSTRACT

Provost and Cheong (2000) show the importance of the distribution of linear combinations of components of a Dirichlet random vector to quadratic forms and their ratios in statistics, which can be applied in a variety of contexts. The c-characteristic function has been shown to be very useful and more practical in some distributions that are hard to manage with the traditional characteristic functions. The importance of the distribution of linear combinations of components of a Dirichlet random vector to quadratic forms and their ratios in statistics, which can be applied in a variety of contexts, is well known. We first provide its inversion formula which is practical in determining the distribution function of a random variable when its c-characteristic function is known. We then use this inversion formula to find an expression of probability density function of linear combinations of components of any Dirichlet vector. This would generalize the currently well known results.

KEYWORDS:

• c-characteristic function
• Dirichlet distribution
• inversion formula.

Acknowledgments

This research was supported in part by the Ministry of Science and Technology, Taiwan. The authors thank a referee for his/her comments.