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Finite exchangeability and linear regression

Author

Listed:
  • Marco Scarsini

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique, Dipartimento di Scienze Economiche e Aziendali - LUISS - Libera Università Internazionale degli Studi Sociali Guido Carli [Roma])

  • Bruno Bassan

Abstract

We consider a finite sequence of exchangeable binary random variables and assume that the conditional expected value of each variable is an average of the observed frequency of success and a prior guess. We obtain a representation of the law of the finite sequence as a beta-binomial. In this way we prove known results for infinite sequences by a simple passage to the limit. Our approach does not have the generality of the usual representation theorems for (finite or infinite) exchangeable sequences, but is very natural and is completely elementary.

Suggested Citation

  • Marco Scarsini & Bruno Bassan, 1995. "Finite exchangeability and linear regression," Post-Print hal-00541806, HAL.
    • Handle: RePEc:hal:journl:hal-00541806
    DOI: 10.1016/0167-7152(94)00100-M
    as

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