Approximating de Finetti's measures for partially exchangeable sequences

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.Partial exchangeability de Finetti's measure Mixtures of products of Dirichlet measures Prior elicitation