The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Exchangeability

  • David Draper
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2822

Abstract

Exchangeability is an invariance property of probability distributions that is central to the process of specifying Bayesian statistical models. Exchangeability judgements play a role in Bayesian modelling analogous to judgments in frequentist modelling that observable quantities may be regarded as realizations of independent identically distributed (IID) random variables. Judgements of conditional exchangeability (given the values of relevant covariates), when combined with Bayesian nonparametric modelling, provide a principled and rather general approach to Bayesian model specification that can lead to well-calibrated inferences and predictions; other approaches to achieving this goal include cross-validation and Bayesian model averaging.

Keywords

Bayes’ th Bayesian nonparametric methods Bayesian statistics Bernoulli distributions Cumulative distribution functions Dirichlet process priors Exchangeability Frequentist statistics Markov chain Monte Carlo methods Model averaging Model specification Model uncertainty Pólya trees Prior distributions Random variables Uncertainty 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • David Draper
    • 1
  1. 1.