Finite Exchangeable Sequences
Diaconis, P. ; Freedman, D.
Ann. Probab., Tome 8 (1980) no. 6, p. 745-764 / Harvested from Project Euclid
Let $X_1, X_2,\cdots, X_k, X_{k+1},\cdots, X_n$ be exchangeable random variables taking values in the set $S$. The variation distance between the distribution of $X_1, X_2,\cdots, X_k$ and the closest mixture of independent, identically distributed random variables is shown to be at most $2 ck/n$, where $c$ is the cardinality of $S$. If $c$ is infinite, the bound $k(k - 1)/n$ is obtained. These results imply the most general known forms of de Finetti's theorem. Examples are given to show that the rates $k/n$ and $k(k - 1)/n$ cannot be improved. The main tool is a bound on the variation distance between sampling with and without replacement. For instance, suppose an urn contains $n$ balls, each marked with some element of the set $S$, whose cardinality $c$ is finite. Now $k$ draws are made at random from this urn, either with or without replacement. This generates two probability distributions on the set of $k$-tuples, and the variation distance between them is at most $2 ck/n$.
Publié le : 1980-08-14
Classification:  de Finetti's theorem,  exchangeable,  symmetric,  extreme points,  presentable,  representable,  variation distance,  sampling with and without replacement,  60G10,  60J05
@article{1176994663,
     author = {Diaconis, P. and Freedman, D.},
     title = {Finite Exchangeable Sequences},
     journal = {Ann. Probab.},
     volume = {8},
     number = {6},
     year = {1980},
     pages = { 745-764},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176994663}
}
Diaconis, P.; Freedman, D. Finite Exchangeable Sequences. Ann. Probab., Tome 8 (1980) no. 6, pp.  745-764. http://gdmltest.u-ga.fr/item/1176994663/