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

exchangeabilityconditional identity in distributionpredictive measurerandom probability measure

Mathematics Subject Classification ID

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

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].

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Cited in

(11)

• Discussion on article ``Bayesian inference with misspecified models
• Asymptotics of certain conditionally identically distributed sequences
• The prior distribution of a random measure
• A class of models for Bayesian predictive inference
• General Wald-type identities for exchangeable sequences and processes
• Asymptotics of predictive distributions
• Prediction rules for exchangeable sequences related to species sampling
• Asymptotic predictive inference with exchangeable data
• Bayesian Predictive Inference Without a Prior
• Kernel based Dirichlet sequences
• Rate of convergence of empirical measures for exchangeable sequences

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