Exchangeable sequences driven by an absolutely continuous random measure

DOI10.1214/12-AOP786MaRDI QIDQ373561zbMATH OpenFDO

Authors Patrizia Berti, Luca Pratelli, Pietro Rigo

Publication date 17 October 2013

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.2039, https://projecteuclid.org/euclid.aop/1368623521

zbMATH Keywords

conditional identity in distributionexchangeabilitypredictive measurerandom probability measure

Mathematics Subject Classification ID

Exchangeability for stochastic processes (60G09) Martingales with discrete parameter (60G42) Random measures (60G57) Bayesian inference (62F15)

Abstract: Let $S$ be a Polish space and $(X_n:ngeq1)$ an exchangeable sequence of $S$-valued random variables. Let $alph{a}_n(cdot)=P(X_{n+1}incdotmid{X}_1,\mathrm{...},X_n)$ be the predictive measure and $alpha$ a random probability measure on $S$ such that $alph{a}_{n}stackrelmathrmweaklongrightarrowalpha$ a.s. Two (related) problems are addressed. One is to give conditions for $alphalllambda$ a.s., where $lambda$ is a (nonrandom) $sigma$-finite Borel measure on $S$. Such conditions should concern the finite dimensional distributions $mathcalL(X_1,\mathrm{...},X_n)$, $ngeq1$, only. The other problem is to investigate whether $Vertalph{a}_n-alphaVertstackrelmathrma.s.longrightarrow0$, where $VertcdotVert$ is total variation norm. Various results are obtained. Some of them do not require exchangeability, but hold under the weaker assumption that $(X_n)$ is conditionally identically distributed, in the sense of [Ann. Probab. 32 (2004) 2029-2052].

Recommendations

• Asymptotic predictive inference with exchangeable data
• Asymptotics of predictive distributions
• The prior distribution of a random measure
• On the extendibility of finitely exchangeable probability measures
• Almost exchangeable sequences of random variables

Cites work

• A class of distribution function processes which have derivatives
• Conditional limit theorems for exponential families and finite versions of de Finetti's theorem
• De Finetti's contribution to probability and statistics
• Exchangeability, predictive distributions and parametric models
• Fundamentals of nonparametric Bayesian inference
• scientific article; zbMATH DE number 3778410 (Why is no real title available?)
• scientific article; zbMATH DE number 7815 (Why is no real title available?)
• scientific article; zbMATH DE number 3538599 (Why is no real title available?)
• scientific article; zbMATH DE number 2216954 (Why is no real title available?)
• Limit theorems for a class of identically distributed random variables.
• Sur la construction de mesures al�atoires presque s�rement absolument continues par rapport � une mesure donn�e
• The Markov moment problem and de Finetti's theorem. I
• The Markov moment problem and de Finetti's theorem. II
• Topological, metric and fractal properties of probability distributions on the set of incomplete sums of positive series

Cited in

(16)

• General Wald-type identities for exchangeable sequences and processes
• Asymptotic predictive inference with exchangeable data
• Prediction rules for exchangeable sequences related to species sampling
• A class of models for Bayesian predictive inference
• Kernel based Dirichlet sequences
• Discussion on article ``Bayesian inference with misspecified models
• Rate of convergence of empirical measures for exchangeable sequences
• The prior distribution of a random measure
• Asymptotics of predictive distributions
• Bayesian Predictive Inference Without a Prior
• Bayesian nonparametric inference on a Fréchet class
• Exchangeability, prediction and predictive modeling in Bayesian statistics
• A probabilistic view on predictive constructions for Bayesian learning
• Weak convergence in probability of predictive distributions
• Classical central limit theorem via conditional expectations
• Asymptotics of certain conditionally identically distributed sequences

This page was built for publication: Exchangeable sequences driven by an absolutely continuous random measure

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q373561)