Sampling Experiment
Wong gives the following system as an example of how the Dirichlet and generalized Dirichlet distributions differ. He posits that a large urn contains balls of different colours. The proportion of each colour is unknown. Write for the proportion of the balls with colour in the urn.
Experiment 1. Analyst 1 believes that (ie, is Dirichlet with parameters ). The analyst then makes glass boxes and puts marbles of colour in box (it is assumed that the are integers ). Then analyst 1 draws a ball from the urn, observes its colour (say colour ) and puts it in box . He can identify the correct box because they are transparent and the colours of the marbles within are visible. The process continues until balls have been drawn. The posterior distribution is then Dirichlet with parameters being the number of marbles in each box.
Experiment 2. Analyst 2 believes that follows a generalized Dirichlet distribution: . All parameters are again assumed to be positive integers. The analyst makes wooden boxes. The boxes have two areas: one for balls and one for marbles. The balls are coloured but the marbles are not coloured. Then for, he puts balls of colour, and marbles, in to box . He then puts a ball of colour in box . The analyst then draws a ball from the urn. Because the boxes are wood, the analyst cannot tell which box to put the ball in (as he could in experiment 1 above); he also has a poor memory and cannot remember which box contains which colour balls. He has to discover which box is the correct one to put the ball in. He does this by opening box 1 and comparing the balls in it to the drawn ball. If the colours differ, the box is the wrong one. The analyst puts a marble (sic) in box 1 and proceeds to box 2. He repeats the process until the balls in the box match the drawn ball, at which point he puts the ball (sic) in the box with the other balls of matching colour. The analyst then draws another ball from the urn and repeats until balls are drawn. The posterior is then generalized Dirichlet with parameters being the number of balls, and the number of marbles, in each box.
Note that in experiment 2, changing the order of the boxes has a non-trivial effect, unlike experiment 1.
Read more about this topic: Generalized Dirichlet Distribution
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