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Approximating de Finetti's measures for partially exchangeable sequences

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  • Guglielmi, Alessandra
  • Melilli, Eugenio

Abstract

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.

Suggested Citation

  • Guglielmi, Alessandra & Melilli, Eugenio, 2000. "Approximating de Finetti's measures for partially exchangeable sequences," Statistics & Probability Letters, Elsevier, vol. 48(3), pages 309-315, July.
    • Handle: RePEc:eee:stapro:v:48:y:2000:i:3:p:309-315
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    References listed on IDEAS

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    1. Petrone, Sonia & Raftery, Adrian E., 1997. "A note on the Dirichlet process prior in Bayesian nonparametric inference with partial exchangeability," Statistics & Probability Letters, Elsevier, vol. 36(1), pages 69-83, November.
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