Approximating de Finetti's measures for partially exchangeable sequences

We show how to approximate de Finetti's measure of a partially exchangeable sequence by a mixture of products of Dirichlet measures, explicitly built once the approximation error has been fixed. These results are used to give a general method for the elicitation of prior distributions correspon...

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Bibliographic Details
Published in:Statistics & probability letters 2000-07, Vol.48 (3), p.309-315
Main Authors: Guglielmi, Alessandra, Melilli, Eugenio
Format: Article
Language:English
Subjects:
de Finetti's measure
Mixtures of products of Dirichlet measures
Partial exchangeability
Partial exchangeability de Finetti's measure Mixtures of products of Dirichlet measures Prior elicitation
Prior elicitation
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Summary:We show how to approximate de Finetti's measure of a partially exchangeable sequence by a mixture of products of Dirichlet measures, explicitly built once the approximation error has been fixed. These results are used to give a general method for the elicitation of prior distributions corresponding to partially exchangeable sequences, when prior information essentially derive from available data relative to phenomena similar to that we consider.
ISSN:0167-7152
1879-2103
DOI:10.1016/S0167-7152(00)00013-4