Approximating de Finetti's measures for partially exchangeable sequences

DOI10.1016/S0167-7152(00)00013-4MaRDI QIDQ1573130zbMATH OpenOpenAlexFDO

Authors Alessandra Guglielmi, Eugenio Melilli

Publication date 10 August 2000

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(00)00013-4

zbMATH Keywords

partial exchangeabilityprior elicitation

Mathematics Subject Classification ID

Exchangeability for stochastic processes (60G09) Statistical decision theory (62C99)

Review text

The authors show how to approximate de Finetti's measure of a partially exchangeable sequence by a mixture of products of Dirichlet measures, explicitly built once the approximation error has been fixed. They claim that this method, when it is meaningfully applied, is an ``objectivist procedure for the assessment of prior distributions, since it essentially uses available data (relative to phenomena similar to that they consider) to construct the prior.

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Cites work

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Cited in

(4)

• Representation theorems for partially exchangeable random variables
• Convergence of de Finetti's mixing measure in latent structure models for observed exchangeable sequences
• scientific article; zbMATH DE number 1114389 (Why is no real title available?)
• De Finetti priors using Markov chain Monte Carlo computations

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