Exchangeable Processes: de Finetti's Theorem Revisited
成果类型：
Article
署名作者：
Lehrer, Ehud; Shaiderman, Dimitry
署名单位：
Tel Aviv University; INSEAD Business School
刊物名称：
MATHEMATICS OF OPERATIONS RESEARCH
ISSN/ISSBN：
0364-765X
DOI：
10.1287/moor.2019.1026
发表日期：
2020
页码：
1153-1163
关键词：
摘要：
A sequence of random variables is exchangeable if the joint distribution of any finite subsequence is invariant to permutations. De Finetti's representation theorem states that every exchangeable infinite sequence is a convex combination of independent and identically distributed processes. In this paper, we explore the relationship between exchangeability and frequency-dependent posteriors. We show that any stationary process is exchangeable if and only if its posteriors depend only on the empirical frequency of past events.
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