On the extendibility of finitely exchangeable probability measures

DOI10.1090/TRAN/7701MaRDI QIDQ4633771zbMATH OpenOpenAlexWikidataFDO

Authors T. Konstantopoulos, Linglong Yuan

Publication date 6 May 2019

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.06188

zbMATH Keywords

\(U\)-statisticsbounded linear functionalde Finettiexchangeableextendiblefinitely exchangeableHahn-Banachpermutationset functionsigned measuresymmetricurn measure

Mathematics Subject Classification ID

Measures and integrals in product spaces (28A35) Integration theory via linear functionals (Radon measures, Daniell integrals, etc.), representing set functions and measures (28C05) Normed linear spaces and Banach spaces; Banach lattices (46B99) Exchangeability for stochastic processes (60G09) Bayesian inference (62F15)

Abstract: A length-$n$ random sequence $X_1,ldots,X_n$ in a space $S$ is finitely exchangeable if its distribution is invariant under all $n!$ permutations of coordinates. Given $N>n$, we study the extendibility problem: when is it the case that there is a length-$N$ exchangeable random sequence $Y_1,ldots,Y_N$ so that $(Y_1,ldots,Y_n)$ has the same distribution as $(X_1,ldots,X_n)$? In this paper, we give a necessary and sufficient condition so that, for given $n$ and $N$, the extendibility problem admits a solution. This is done by employing functional-analytic and measure-theoretic arguments that take into account the symmetry. We also address the problem of infinite extendibility. Our results are valid when $X_1$ has a regular distribution in a locally compact Hausdorff space $S$. We also revisit the problem of representation of the distribution of a finitely exchangeable sequence.

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Cited in

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