Introduction to the Dirichlet Distribution and Related Processes

UWEETR-2010-0006

Author(s):
Bela A. Frigyik, Amol Kapila, Maya R. Gupta

Keywords:
Dirichlet, Polya urn, Chinese restaurant, Indian buffet

Abstract

This tutorial covers the Dirichlet distribution, Dirichlet process, Polya urn (and the associated Chinese restaurant process), hierarchical Dirichlet Process, and the Indian buffet process. Apart from basic properties, we describe and contrast three methods of generating samples: stick-breaking, the Polya urn, and drawing gamma random variables. For the Dirichlet process we first present an informal introduction, and then a rigorous description for those more comfortable with probability theory.

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