Exchangeable lower previsions
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Publication:6208052
arXiv0801.1265MaRDI QIDQ6208052FDOQ6208052
Enrique Miranda, Erik Quaeghebeur, Gert De Cooman
Publication date: 8 January 2008
Abstract: We extend de Finetti's (1937) notion of exchangeability to finite and countable sequences of variables, when a subject's beliefs about them are modelled using coherent lower previsions rather than (linear) previsions. We prove representation theorems in both the finite and the countable case, in terms of sampling without and with replacement, respectively. We also establish a convergence result for sample means of exchangeable sequences. Finally, we study and solve the problem of exchangeable natural extension: how to find the most conservative (point-wise smallest) coherent and exchangeable lower prevision that dominates a given lower prevision.
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