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A generalization of the Dirichlet distribution. (English) Zbl 1258.60020
Summary: A new parametric family of distributions on the unit simplex is proposed and investigated. Such family, called flexible Dirichlet, is obtained by normalizing a correlated basis formed by a mixture of independent gamma random variables. The Dirichlet distribution is included as an inner point. The flexible Dirichlet is shown to exhibit a rich dependence pattern, capable of discriminating among many of the independence concepts relevant for compositional data. At the same time, it can model multi-modality. A number of stochastic representations are given, disclosing its remarkable tractability. In particular, it is closed under marginalization, conditioning, subcomposition, amalgamation and permutation.

MSC:
60E05 Probability distributions: general theory
62E15 Exact distribution theory in statistics
62H05 Characterization and structure theory for multivariate probability distributions; copulas
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