Rates of convergence in de Finetti's representation theorem, and Hausdorff moment problem

被引:4
|
作者
Dolera, Emanuele [1 ]
Favaro, Stefano [1 ,2 ,3 ]
机构
[1] Univ Pavia, Dept Math, I-27100 Pavia, Italy
[2] Univ Torino, Dept Econ & Stat, I-10134 Turin, Italy
[3] Coll Carlo Alberto, I-10134 Turin, Italy
基金
欧洲研究理事会;
关键词
de Finetti's law of large numbers; de Finetti's representation theorem; Edgeworth expansions; exchangeability; Hausdorff moment problem; Kolmogorov distance; Wasserstein distance; EQUILIBRIUM;
D O I
10.3150/19-BEJ1156
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Given a sequence {X-n}(n >= 1) of exchangeable Bernoulli random variables, the celebrated de Finetti representation theorem states that 1/n Sigma(n)(i)=1(X)i ->(a.s.) Y for a suitable random variable Y : Omega -> [0, 1] satisfying P[X-1 = x(1), ..., X-n = x(n)[Y] = Y(Sigma)i(n)=1 x(i) (1 - Y)(n)-Sigma(i)(=1)nx(i). In this paper, we study the rate of convergence in law of 1/n Sigma(i)(=1)nX(i) to Y under the Kolmogorov distance. After showing that a rate of the type of 1/n(alpha )can be obtained for any index alpha is an element of (0, 1], we find a sufficient condition on the distribution of Y for the achievement of the optimal rate of convergence, that is 1/n. Besides extending and strengthening recent results under the weaker Wasserstein distance, our main result weakens the regularity hypotheses on Y in the context of the Hausdorff moment problem.
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页码:1294 / 1322
页数:29
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