An elementary proof of de Finetti’s theorem

Werner Kirsch

Statistics & Probability Letters, 2019, vol. 151, issue C, 84-88

Abstract: A sequence of random variables is called exchangeable if the joint distribution of the sequence is unchanged by any permutation of the indices. De Finetti’s theorem characterizes all {0,1}-valued exchangeable sequences as a ‘mixture’ of sequences of independent random variables. We present a new, elementary proof of de Finetti’s Theorem. The purpose of this paper is to make this theorem accessible to a broader community through an essentially self-contained proof.

Keywords: Exchangeable random variables; de Finetti’s Theorem; Moment method (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2019.03.014

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