Rates of convergence in de Finetti's representation theorem, and Hausdorff moment problem

DOI10.3150/19-BEJ1156MaRDI QIDQ2295034zbMATH OpenFDO

Authors Emanuele Dolera, Stefano Favaro

Publication date 12 February 2020

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.02244, https://projecteuclid.org/euclid.bj/1580461580

zbMATH Keywords

de Finetti's law of large numbersde Finetti's representation theoremEdgeworth expansionsexchangeabilityHausdorff moment problemKolmogorov distanceWasserstein distance

Mathematics Subject Classification ID

Moment problems (44A60) Central limit and other weak theorems (60F05) Exchangeability for stochastic processes (60G09)

Abstract: This paper provides a quantitative version of de Finetti law of large numbers. Given an infinite sequence ${X_n}_{ngeq1}$ of exchangeable Bernoulli variables, it is well-known that $frac1nsu{m}_{i=1}^n{X}_{i}stackrela.s.longrightarrowY$, for a suitable random variable $Y$ taking values in $[0,1]$. Here, we consider the rate of convergence in law of $frac1nsu{m}_{i=1}^n{X}_i$ towards $Y$, with respect to the Kolmogorov distance. After showing that any rate of the type of $1/n^{alpha}$ can be obtained for any $alphain(0,1]$, we find a sufficient condition on the probability distribution of $Y$ for the achievement of the optimal rate of convergence, that is $1/n$. Our main result improve on existing literature: in particular, with respect to cite{MPS}, we study a stronger metric while, with respect to cite{Mna}, we weaken the regularity hypothesis on the probability distribution of $Y$.

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Cited in

(5)

• A Berry-Esseen theorem for Pitman's \(\alpha\)-diversity
• On the rate of convergence in de Finetti's representation theorem
• The Relation Between a Rate of Convergence of Moments of Normed Sums and the Chebyshev-Hermite Models
• On exchangeability and Hausdorff moment problems over k-dimensional simplexes
• Bayesian nonparametric inference for ``species-sampling problems

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