The aim of this paper is the study of some random probability distributions, called hyper-Dirichlet processes. In the simplest situation considered in the paper these distributions charge the product of three sample spaces, with the property that the first and the last component are independent conditional to the middle one. The law of the marginals on the first two and on the last two components are specified to be Dirichlet processes with the same marginal parameter measure on the common second component. The joint law is then obtained as the hyper-Markov combination, introduced in [A.P. Dawid, S.L. Lauritzen, Hyper-Markov laws in the statistical analysis of decomposable graphical models, Ann. Statist. 21 (3) (1993) 1272–1317], of these two Dirichlet processes. The processes constructed in this way are in fact generalizations of the hyper-Dirichlet laws on contingency tables considered in the above paper.
