Bayesian Representation of Stochastic Processes under Learning: de Finetti Revisited

Matthew Jackson, Ehud Kalai and Rann Smorodinsky

Econometrica, 1999, vol. 67, issue 4, 875-894

Abstract: A probability distribution governing the evolution of a stochastic process has infinitely many Bayesian representations of the form mu = integral operator [subscript theta] mu[subscript theta] delta lambda (theta). Among these, a natural representation is one whose components (mu[subscript theta]'s) are 'learnable' (one can approximate mu[subscript theta] by conditioning mu on observation of the process) and 'sufficient for prediction' (mu[subscript theta]'s predictions are not aided by conditioning on observation of the process). The authors show the existence and uniqueness of such a representation under a suitable asymptotic mixing condition on the process. This representation can be obtained by conditioning on the tail-field of the process, and any learnable representation that is sufficient for prediction is asymptotically like the tail-field representation. This result is related to the celebrated de Finetti theorem, but with exchangeability weakened to an asymptotic mixing condition, and with his conclusion of a decomposition into i.i.d. component distributions weakened to components that are learnable and sufficient for prediction.

Date: 1999
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Working Paper: Bayesian Representation of Stochastic Processes under Learning: de Finetti Revisited (1998)
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