The Dirichlet distribution
Is it to proportions what Multinomial is to number in categories?
Interpretation
Let us consider an urn with \(K\) different colors. There are \(\alpha_1\) balls of the first colors, …, \(\alpha_K\) balls of the $K$th color. We draw \(N\) balls from this urn using the following protocol:
- Pick one ball
- Return the ball to the urn
- Add another ball of the same color to the urn
When \(N\) is very large, the proportions of balls of different colors are distributed according to \(\operatorname{Dirichlet}(\mathbf{\alpha})\).