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Finite Partially Exchangeable Laws Are Signed Mixtures of Product Laws

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  • Paolo Leonetti

    (Università “Luigi Bocconi” – via Roentgen 1)

Abstract

Given a partition {I1, …, Ik} of {1, …, n}, let (X1, …, Xn) be random vector with each Xi taking values in an arbitrary measurable space ( S , S ) $(S,\mathcal {S})$ such that their joint law is invariant under finite permutations of the indexes within each class Ij. Then, it is shown that this law has to be a signed mixture of independent laws and identically distributed within each class Ij. We provide a necessary condition for the existence of a nonnegative directing measure. This is related to the notions of infinite extendibility and reinforcement. In particular, given a finite exchangeable sequence of Bernoulli random variables, the directing measure can be chosen nonnegative if and only if two effectively computable matrices are positive semi-definite.

Suggested Citation

  • Paolo Leonetti, 2018. "Finite Partially Exchangeable Laws Are Signed Mixtures of Product Laws," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 80(2), pages 195-214, August.
    • Handle: RePEc:spr:sankha:v:80:y:2018:i:2:d:10.1007_s13171-017-0123-5
    DOI: 10.1007/s13171-017-0123-5
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    References listed on IDEAS

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    1. von Plato, Jan, 1991. "Finite partial exchangeability," Statistics & Probability Letters, Elsevier, vol. 11(2), pages 99-102, February.
    2. Kallenberg, Olav, 1989. "On the representation theorem for exchangeable arrays," Journal of Multivariate Analysis, Elsevier, vol. 30(1), pages 137-154, July.
    3. Aldous, David J., 1981. "Representations for partially exchangeable arrays of random variables," Journal of Multivariate Analysis, Elsevier, vol. 11(4), pages 581-598, December.
    4. Muliere, P. & Secchi, P. & Walker, S. G., 2000. "Urn schemes and reinforced random walks," Stochastic Processes and their Applications, Elsevier, vol. 88(1), pages 59-78, July.
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