Dirichlet distribution

In probability and statistics, the Dirichlet distribution (after Peter Gustav Lejeune Dirichlet), often denoted , is a family of continuous multivariate probability distributions parameterized by a vector of positive reals. It is a multivariate generalization of the beta distribution, hence its alternative name of multivariate beta distribution (MBD). Dirichlet distributions are commonly used as prior distributions in Bayesian statistics, and in fact, the Dirichlet distribution is the conjugate prior of the categorical distribution and multinomial distribution. The infinite-dimensional generalization of the Dirichlet distribution is the Dirichlet process. The Dirichlet distribution of order K ≥ 2 with parameters α1, ..., αK > 0 has a probability density function with respect to Lebesgue measure on the Euclidean space RK-1 given by where belong to the standard simplex, or in other words: The normalizing constant is the multivariate beta function, which can be expressed in terms of the gamma function: The support of the Dirichlet distribution is the set of K-dimensional vectors whose entries are real numbers in the interval [0,1] such that , i.e. the sum of the coordinates is equal to 1. These can be viewed as the probabilities of a K-way categorical event. Another way to express this is that the domain of the Dirichlet distribution is itself a set of probability distributions, specifically the set of K-dimensional discrete distributions. The technical term for the set of points in the support of a K-dimensional Dirichlet distribution is the open standard (K − 1)-simplex, which is a generalization of a triangle, embedded in the next-higher dimension. For example, with K = 3, the support is an equilateral triangle embedded in a downward-angle fashion in three-dimensional space, with vertices at (1,0,0), (0,1,0) and (0,0,1), i.e. touching each of the coordinate axes at a point 1 unit away from the origin. A common special case is the symmetric Dirichlet distribution, where all of the elements making up the parameter vector have the same value.