On the rate of convergence in de Finetti's representation theorem

Abstract

A consequence of de Finetti's representation theorem is that for every infinite sequence of exchangeable 0-1 random variables $(X_k)_{k\geq1}$, there exists a probability measure $μ$ on the Borel sets of $[0,1]$ such that $\bar X_n = n^{-1} \sum_{i=1}^n X_i$ converges weakly to $μ$. For a wide class of probability measures $μ$ having smooth density on $(0,1)$, we give bounds of order $1/n$ with explicit constants for the Wasserstein distance between the law of $\bar X_n$ and $μ$. This extends a recent result {by} Goldstein and Reinert \cite{goldstein2013stein} regarding the distance between the scaled number of white balls drawn in a Pólya-Eggenberger urn and its limiting distribution. We prove also that, in the most general cases, the distance between the law of $\bar X_n$ and $μ$ is bounded below by $1/n$ and above by $1/\sqrt{n}$ (up to some multiplicative constants). For every $δ\in [1/2,1]$, we give an example of an exchangeable sequence such that this distance is of order $1/n^δ$.