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Corrected how a distribution is selected.; added 3 characters in body
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Wilson
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I could sample a set of m elements from the uniform distribution over a universe $U$ of n >> m elements. Alternately, I could select a random probability distribution $\mathcal{D}$, and sample $m$ elements from $\mathcal{D}$.

EDIT (per Michael Lugo): When I say "select a random probability distribution", I mean select a point uniformly at random infrom the unitstandard $n$-dimensionalsimplex: $\ell_1$ ball and interpret it as a distribution{$\{(x_1,\ldots,x_n) : x_i \geq 0, x_1+\ldots+x_n = 1\}$}.

Do these two methods lead to the same distribution over my sample? If not, how do they differ? If some event (my sample lies in some set of samples of size m) occurs with probability p using the second method, what can I say about its probability using the first method?

I could sample a set of m elements from the uniform distribution over a universe $U$ of n >> m elements. Alternately, I could select a random probability distribution $\mathcal{D}$, and sample $m$ elements from $\mathcal{D}$. When I say "select a random probability distribution", I mean select a point uniformly at random in the unit $n$-dimensional $\ell_1$ ball and interpret it as a distribution.

Do these two methods lead to the same distribution over my sample? If not, how do they differ? If some event (my sample lies in some set of samples of size m) occurs with probability p using the second method, what can I say about its probability using the first method?

I could sample a set of m elements from the uniform distribution over a universe $U$ of n >> m elements. Alternately, I could select a random probability distribution $\mathcal{D}$, and sample $m$ elements from $\mathcal{D}$.

EDIT (per Michael Lugo): When I say "select a random probability distribution", I mean select a point uniformly at random from the standard $n$-simplex: {$\{(x_1,\ldots,x_n) : x_i \geq 0, x_1+\ldots+x_n = 1\}$}.

Do these two methods lead to the same distribution over my sample? If not, how do they differ? If some event (my sample lies in some set of samples of size m) occurs with probability p using the second method, what can I say about its probability using the first method?

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Wilson
  • 107
  • 1
  • 5
  • 10

Sample from uniform distribution vs. Sample from random distribution

I could sample a set of m elements from the uniform distribution over a universe $U$ of n >> m elements. Alternately, I could select a random probability distribution $\mathcal{D}$, and sample $m$ elements from $\mathcal{D}$. When I say "select a random probability distribution", I mean select a point uniformly at random in the unit $n$-dimensional $\ell_1$ ball and interpret it as a distribution.

Do these two methods lead to the same distribution over my sample? If not, how do they differ? If some event (my sample lies in some set of samples of size m) occurs with probability p using the second method, what can I say about its probability using the first method?