The de Finetti structure behind some norm-symmetric multivariate densities with exponential decay

Abstract

Abstract We derive a sufficient condition on the symmetric norm ||·|| such that the probability distribution associated with the density function f (x) ∝exp(−λ ||x||) is conditionally independent and identically distributed in the sense of de Finetti’s seminal theorem. The criterion is mild enough to comprise the ℓp -norms as special cases, in which f is shown to correspond to a polynomially tilted stable mixture of products of transformed Gamma densities. In another special case of interest f equals the density of a time-homogeneous load sharing model, popular in reliability theory, whose motivation is a priori unrelated to the concept of conditional independence. The de Finetti structure reveals a surprising link between time-homogeneous load sharing models and the concept of Lévy subordinators.