Comparison of stop rule and maximum expectations for finite sequences of exchangeable random variables

Abstract

For sequences of exchangeable random variables taking values in [0,1], results are given which compare . Complete resulfs are given for the n = 2 and n = ∞ cases; results are also given for the 2 < n < ∞ case. A constructive approach is taken, with extremal distributions given where applicable. For the n = 2 case, conjugate function theory is used in an essential way. The transformations and constructions of finite sequences of exchangeable random variables which are given should be of independent interest to those working with this class of processes

¹Supported in part by the National Science Foundation

¹Supported in part by the National Science Foundation

Notes

¹Supported in part by the National Science Foundation