Arbeitspapier

Exchangeable Sequences Driven by an Absolutely Continuous Random Measure

Let S be a Polish space and (Xn : n = 1) an exchangeable sequence of S-valued random variables. Let an(·) = P( Xn+1 in · | X1, . . . ,Xn) be the predictive measure and a a random probability measure on S such that an (weak) --> a a.s.. Two (related) problems are addressed. One is to give conditions for a << l a.s., where l is a (non random) sigma-finite Borel measure on S. Such conditions should concern the finite dimensional distributions L(X1, . . . ,Xn), n = 1, only. The other problem is to investigate whether ||an - a|| (a.s.) --> 0, where ||·|| is total variation norm. Various results are obtained. Some of them do not require exchangeability, but hold under the weaker assumption that (Xn) is conditionally identically distributed, in the sense of [2].

Language
Englisch

Bibliographic citation
Series: Quaderni di Dipartimento ; No. 142

Classification
Wirtschaft
Subject
Conditional identity in distribution
Exchangeability
Predictive measure
Random probability measure

Event
Geistige Schöpfung
(who)
Berti, Patrizia
Pratelli, Luca
Rigo, Pietro
Event
Veröffentlichung
(who)
Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)
(where)
Pavia
(when)
2011

Handle
Last update
10.03.2025, 11:42 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Berti, Patrizia
  • Pratelli, Luca
  • Rigo, Pietro
  • Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)

Time of origin

  • 2011

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