[Math] Dirichlet distribution, sum of Beta distributions

probabilityprobability distributionsprobability theory

I currently have a problem about Dirichlet distributed Variables. In one of the papers I am currently reading it says:

Let
$S=(S_1,…,S_m)\sim Dir(\delta\omega_1,…, \delta \omega_m)$,
with $\sum_{j=1}^m \omega_j=1$ and $\delta >0$

and let
$Z=(Z_1,…,Z_m)$, with $Z_j= \sum_{i =1}^j S_i$.

Establish that:

$Z_j \sim Beta(\delta \zeta_j,\delta (1- \zeta_j))$
with $\zeta_j= \sum_{i =1}^j \omega_i$.

What I know:

I know that the marginal distribution of $S_j$ is a beta distribution with:

$
S_j \sim Beta(\delta\omega_j,\delta\sum_{i=1}^m \omega_i-\delta\omega_j)=Beta(\delta\omega_j,\delta(1-\omega_j))
$

So it looks like there is an additive characteristic. How can this be established?

Best Answer

The "additive characteristic" you speak of isn't over independent Beta variables. It's conditional on the sum being less than 1. That is to say, $S_1$ and $S_2$ are not independent: although their support are on $[0,1]$, their sum cannot exceed $1$ because they are drawn from the Dirichlet distribution whose support is on $\boldsymbol S \in \{ \boldsymbol s \in [0,1]^m : \sum s_i \le 1 \}$.

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