MAT8886 the Dirichlet distribution

February 15, 2012

(This article was first published on Freakonometrics - Tag - R-english, and kindly contributed to R-bloggers)

In the course, still introducing some concept of dependent distributions, we will talk about the Dirichlet distribution (which is a distribution over the simplex of Let denote the Gamma distribution with density (on

Let denote independent
random variables, with Then where

has a Dirichlet distribution with parameter Note that has a distribution in the simplex of,

and has density

We will write

The density for different values of can be visualized below, e.g., with some kind of symmetry,
or and, below
and finally, below,
Note that marginal distributions are also Dirichlet, in the sense that


if, and if, then‘s have Beta distributions,

See Devroye (1986) section XI.4, or Frigyik, Kapila & Gupta (2010) .This distribution might also be called multivariate Beta distribution. In R, this function can be used as follows
> library(MCMCpack)
> alpha=c(2,2,5)
> x=seq(0,1,by=.05)
> vx=rep(x,length(x))
> vy=rep(x,each=length(x))
> vz=1-x-vy
> V=cbind(vx,vy,vz)
> D=ddirichlet(V, alpha)
> persp(x,x,matrix(D,length(x),length(x))

(to plot the density, as figures above). Note that we will come back on that distribution later on so-called Liouville copulas (see also Gupta & Richards (1986)).

To leave a comment for the author, please follow the link and comment on their blog: Freakonometrics - Tag - R-english. offers daily e-mail updates about R news and tutorials on topics such as: Data science, Big Data, R jobs, visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...

If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Tags: , , , , , , ,

Comments are closed.


Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)