Exchangeability and the law of maturity

Autor(es)

Bonassi, Fernando V. ^[1] ; Stern, Rafael B. ^[2] ; Peixoto, Claudia M. ^[3] ; Wechsler, Sergio ^[3]

Afiliação do(s) autor(es)

^[1] Google Inc, Mountain View, CA 94043 - USA

^[2] Carnegie Melon Univ, Dept Stat, Pittsburgh, PA 15217 - USA

^[3] Univ Sao Paulo, Inst Matemat Estat, Sao Paulo, SP - Brazil

• Tipo de documento: Artigo Científico
• Fonte: THEORY AND DECISION; v. 78, n. 4, p. 603-615, APR 2015.
• Citações Web of Science: 0

Resumo

The law of maturity is the belief that less-observed events are becoming mature and, therefore, more likely to occur in the future. Previous studies have shown that the assumption of infinite exchangeability contradicts the law of maturity. In particular, it has been shown that infinite exchangeability contradicts probabilistic descriptions of the law of maturity such as the gambler's belief and the belief in maturity. We show that the weaker assumption of finite exchangeability is compatible with both the gambler's belief and belief in maturity. We provide sufficient conditions under which these beliefs hold under finite exchangeability. These conditions are illustrated with commonly used parametric models. (AU)

• Processo FAPESP: 03/10105-2 - Séries temporais, análise de dependência e aplicações em atuária e finanças
• Beneficiário: Pedro Alberto Morettin
• Modalidade de apoio: Auxílio à Pesquisa - Programa PRONEX - Temático