Ferguson Distributions Via Polya Urn Schemes

Abstract

The Polya urn scheme is extended by allowing a continuum of colors. For the extended scheme, the distribution of colors after $n$ draws is shown to converge as $n \rightarrow \infty$ to a limiting discrete distribution $\mu^\ast$. The distribution of $\mu^\ast$ is shown to be one introduced by Ferguson and, given $\mu^\ast$, the colors drawn from the urn are shown to be independent with distribution $\mu^\ast$.