Spreading and predictable sampling in exchangeable sequences and processes
Some results on exchangeable sequences are given in terms of martingales and stopping times. Extensions to exchangeable processes in continuous time are also considered. A sequence \(X=(X_ 1,X_ 2,...)\) of random variables is said to be spreadable if \[ (X_{k_ 1},X_{k_ 2},...)=d(X_ 1,X_ 2,...),\quad k_ 1<k_ 2<.... \] Define the measure-valued processes \((\pi_ n)\) and \((\lambda_ n)\) by \[ \pi_ n=P[T_ n\circ X\in \cdot | {\mathcal F}_ n],\quad \lambda_ n=P[X_{n+1}\in \cdot | {\mathcal F}_ n],\quad n\geq 0, \] where \(T_ 0,T_ 1,..\). denote the shift operators on \({\mathbb{R}}^{\infty}\), \({\mathcal F}_ n=\sigma (X_ 1,...,X_ n)\), \(n\geq 1\). It is proved that the following conditions are equivalent: (i) X is spreadable; (ii) \(T_{\tau}\circ X=d X\) for every finite stopping time \(\tau\); (iii) \((\pi_ nf)\) is a martingale for every bounded \(f:R^{\infty}\to R.\) The following are also \(equivalent:\) (i') \((X_ 1,...,X_ n\), \(X_{n+2})=d(X_ 1,...,X_ n\) \(X_{n+1})\), \(n\geq 1;\) (ii') \(X_{\tau +1}=d X_ 1\) for every stopping \(time;\) (iii') \((\lambda_ nf)\) is a martingale for every bounded \(f: R\to R.\) Let \(\{\nu_ i,i\geq 1\}\) be a sequence of i.i.d. random variables and independent of X with \[ P[\nu_ i=1]=1-P[\nu_ i=0]=p,\quad i\in {\mathbb{N}}, \] for some \(p\in (0,1]\) and set \[ \tau_ j=\inf \{k\in {\mathbb{N}}:\sum^{k}_{i=1}\nu_ i=j\},\quad j\in {\mathbb{N}}. \] The sequence \(Y=(X_{\tau_ 1},X_{\tau_ 2},...)\) is called a p-thinning of X. The following statement characterizes exchangeability. Fix \(p\in (0,1]\) and let X be a stationary sequence of random variables with p-thinning Y. Then X is exchangeable iff \(X=d Y.\) Fix a filtration \({\mathcal F}=({\mathcal F}_ 0\), \({\mathcal F}_ 1,...)\). The following theorem shows that the distribution of an exchangeable sequence is invariant under predictable sampling. Let X be a finite or infinite \({\mathcal F}\)-exchangeable sequence with index set I and let \(\tau_ 1,...,\tau_ k\) be a.s. distinct I-valued predictable stopping times. Then \[ (X_{\tau_ 1},...,X_{\tau_ k})=d(X_ 1,...,X_ k). \] It is difficult to quote here the results on martingale characterizations in continuous time.
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