Lower bounds for the distribution function of a k-dimensional n-extensible exchangeable process

Marco Scarsini (1, 2)

1 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC
2 Dipartimento di Scienze Economiche e Aziendali

A lower bound for the distribution function of a k-dimensional, n-extensible exchangeable process is provided when the marginals are uniform on the unit segment. The result is obtained by means of standard linear programming techniques. The lower bound for infinitely extendible exchangeable processes is the distribution of independent random variables.

Keywords: exchangeable process; extendibility

Domains: Economy and decision science

Marco Scarsini. Lower bounds for the distribution function of a k-dimensional n-extensible exchangeable process. Statistics and Probability Letters, 1985, Vol. 3, N°2, pp. 57-62. ⟨10.1016/0167-7152(85)90024-0⟩. ⟨hal-00542364⟩