On a representation theorem for finitely exchangeable random vectors

DOI10.1016/J.JMAA.2016.04.070MaRDI QIDQ294123zbMATH OpenOpenAlexFDO

Authors Svante Janson, T. Konstantopoulos, Linglong Yuan

Publication date 9 June 2016

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.1777

zbMATH Keywords

symmetricexchangeablehomogeneous polynomialmeasurable spacepoint measuresigned measure

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Exchangeability for stochastic processes (60G09)

Abstract: A random vector $X=(X_1,ldots,X_n)$ with the $X_i$ taking values in an arbitrary measurable space $(S,mathscrS)$ is exchangeable if its law is the same as that of $(X_{sigma(1)},ldots,X_{sigma(n)})$ for any permutation $sigma$. We give an alternative and shorter proof of the representation result (Jaynes cite{Jay86} and Kerns and Sz'ekely cite{KS06}) stating that the law of $X$ is a mixture of product probability measures with respect to a signed mixing measure. The result is "finitistic" in nature meaning that it is a matter of linear algebra for finite $S$. The passing from finite $S$ to an arbitrary one may pose some measure-theoretic difficulties which are avoided by our proof. The mixing signed measure is not unique (examples are given), but we pay more attention to the one constructed in the proof ("canonical mixing measure") by pointing out some of its characteristics. The mixing measure is, in general, defined on the space of probability measures on $S$, but for $S=mathbbR$, one can choose a mixing measure on $mathbb{R}^n$.

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Cited in

(16)

• Testing exchangeability of multivariate distributions
• Relations between ageing and dependence for exchangeable lifetimes with an extension for the IFRA/DFRA property
• Tensor norms on ordered normed spaces, polarization constants, and exchangeable distributions
• A coupling proof of convex ordering for compound distributions
• Exchangeable random measures in the plane
• The distribution of the number of distinct values in a finite exchangeable sequence
• Convex geometry of finite exchangeable laws and de Finetti style representation with universal correlated corrections
• On the representation theorem for exchangeable arrays
• The Pitman inequality for exchangeable random vectors
• An elementary proof of de Finetti's theorem
• On the extendibility of finitely exchangeable probability measures
• scientific article; zbMATH DE number 5504138 (Why is no real title available?)
• Generalized symmetric polynomials and an approximate de Finetti representation
• Spherical distributions: Schoenberg (1938) revisited
• Exchangeable random measures
• M-estimation for linear models with exchangeable errors

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