Exchangeable Processes: De Finetti s Theorem Revisited

Ehud Lehrer, Dimitry Shaiderman

Research output: Contribution to journalArticlepeer-review

Abstract

A sequence of random variables is exchangeable if the joint distribution of any finite subsequence is invariant to permutations. De Finetti s representation theorem states that every exchangeable infinite sequence is a convex combination of independent and identically distributed processes. In this paper, we explore the relationship between exchangeability and frequency-dependent posteriors. We show that any stationary process is exchangeable if and only if its posteriors depend only on the empirical frequency of past events.

Original languageEnglish
Pages (from-to)1153-1163
Number of pages11
JournalMathematics of Operations Research
Volume45
Issue number3
DOIs
StatePublished - Aug 2020

Keywords

  • de Finetti theorem
  • exchangeable process
  • frequency-dependent posteriors
  • permutation-invariant posteriors
  • stationary process
  • urn schemes

Fingerprint

Dive into the research topics of 'Exchangeable Processes: De Finetti s Theorem Revisited'. Together they form a unique fingerprint.

Cite this