The two-parameter Poisson-Dirichlet distribution, denoted PD α θ , is a probability distribution on the set of decreasing positive sequences with sum 1. The usual Poisson-Dirichlet distribution with a single parameter θ, introduced by Kingman, is PD 0 θ . Known properties of PD 0 θ , including the Markov chain description due to Vershik, Shmidt and Ignatov, are generalized to the two-parameter case. The size-biased random permutation of PD α θ is a simple residual allocation model proposed by Engen in the context of species diversity, and rediscovered by Perman and the authors in the study of excursions of Brownian motion and Bessel processes. For 0 < α < 1, PD α 0 is the asymptotic distribution of ranked lengths of excursions of a Markov chain away from a state whose recurrence time distribution is in the domain of attraction of a stable law of index α. Formulae in this case trace back to work of Darling, Lamperti and Wendel in the 1950s and 1960s. The distribution of ranked lengths of excursions of a one-dimensional Brownian motion is PD 1/2 0 , and the corresponding distribution for a Brownian bridge is PD 1/2 1/2 . The PD α 0 and PD α α distributions admit a similar interpretation in terms of the ranked lengths of excursions of a semistable Markov process whose zero set is the range of a stable subordinator of index α.
This paper presents some general formulas for random partitions of a finite set derived by Kingman's model of random sampling from an interval partition generated by subintervals whose lengths are the points of a Poisson point process. These lengths can be also interpreted as the jumps of a subordinator, that is an increasing process with stationary independent increments. Examples include the two-parameter family of Poisson-Dirichlet models derived from the Poisson process of jumps of a stable subordinator. Applications are made to the random partition generated by the lengths of excursions of a Brownian motion or Brownian bridge conditioned on its local time at zero.
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