On the extendibility of finitely exchangeable probability measures

Abstract

A length-$n$ random sequence $X_1,\dots ,X_n$ in a space $S$ is finitely exchangeable if its distribution is invariant under all $n!$ permutations of coordinates. Given $N>n$, we study the extendibility problem: when is it the case that there is a length-$N$ exchangeable random sequence $Y_1,\dots ,Y_N$ so that $(Y_1,\dots ,Y_n)$ has the same distribution as $(X_1,\dots ,X_n)$? In this paper, we give a necessary and sufficient condition so that, for given $n$ and $N$, the extendibility problem admits a solution. This is done by employing functional-analytic and measure-theoretic arguments that take into account the symmetry. We also address the problem of infinite extendibility. Our results are valid when $X_1$ has a regular distribution in a locally compact Hausdorff space $S$. We also revisit the problem of representation of the distribution of a finitely exchangeable sequence.