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Convex geometry of finite exchangeable laws and de Finetti style representation with universal correlated corrections

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 نشر من قبل Gero Friesecke
 تاريخ النشر 2021
  مجال البحث
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We present a novel analogue for finite exchangeable sequences of the de Finetti, Hewitt and Savage theorem and investigate its implications for multi-marginal optimal transport (MMOT) and Bayesian statistics. If $(Z_1,...,Z_N)$ is a finitely exchangeable sequence of $N$ random variables taking values in some Polish space $X$, we show that the law $mu_k$ of the first $k$ components has a representation of the form $mu_k=int_{{mathcal P}_{frac{1}{N}}(X)} F_{N,k}(lambda) , mbox{d} alpha(lambda)$ for some probability measure $alpha$ on the set of $1/N$-quantized probability measures on $X$ and certain universal polynomials $F_{N,k}$. The latter consist of a leading term $N^{k-1}! /{small prod_{j=1}^{k-1}(N! -! j), lambda^{otimes k}}$ and a finite, exponentially decaying series of correlated corrections of order $N^{-j}$ ($j=1,...,k$). The $F_{N,k}(lambda)$ are precisely the extremal such laws, expressed via an explicit polynomial formula in terms of their one-point marginals $lambda$. Applications include novel approximations of MMOT via polynomial convexification and the identification of the remainder which is estimated in the celebrated error bound of Diaconis-Freedman between finite and infinite exchangeable laws.



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