IID: independently and indistinguishably distributed
AbstractThe inability of the Bayesian model to accomodate Ellsberg-type behavior is well known. This paper focuses on another limitation of the Bayesian model, specific to a dynamic setting, namely the inability to permit a distinction between experiments that are identical and those that are only indistinguishable. It is shown that such a distinction is afforded by recursive multiple-priors utility. Two related technical contributions are the proff of a strong LLN for recursive multiple-priors utility and the extension to sets of priors of the notion of regularity of a probability measure.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Theory.
Volume (Year): 113 (2003)
Issue (Month): 1 (November)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/622869
Other versions of this item:
- Larry Epstein & Martin Schneider, 2002. "IID: Independently and Indistinguishably Distributed," RCER Working Papers 496, University of Rochester - Center for Economic Research (RCER).
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
- D9 - Microeconomics - - Intertemporal Choice
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- D. Blackwell & L. Dubins, 2010. "Merging of Opinions with Increasing Information," Levine's Working Paper Archive 565, David K. Levine.
- Marinacci, Massimo, 1999. "Limit Laws for Non-additive Probabilities and Their Frequentist Interpretation," Journal of Economic Theory, Elsevier, vol. 84(2), pages 145-195, February.
- Ghirardato, Paolo, 1995.
"On Independence For Non-Additive Measures, With a Fubini Theorem,"
940, California Institute of Technology, Division of the Humanities and Social Sciences.
- Ghirardato, Paolo, 1997. "On Independence for Non-Additive Measures, with a Fubini Theorem," Journal of Economic Theory, Elsevier, vol. 73(2), pages 261-291, April.
- Epstein Larry G. & Wang Tan, 1995. "Uncertainty, Risk-Neutral Measures and Security Price Booms and Crashes," Journal of Economic Theory, Elsevier, vol. 67(1), pages 40-82, October.
- Schmeidler, David, 1989.
"Subjective Probability and Expected Utility without Additivity,"
Econometric Society, vol. 57(3), pages 571-87, May.
- David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
- Hendon, Ebbe & Jacobsen, Hans Jorgen & Sloth, Birgitte & Tranaes, Torben, 1996.
"The product of capacities and belief functions,"
Mathematical Social Sciences,
Elsevier, vol. 32(2), pages 95-108, October.
- Sarin, Rakesh & Wakker, Peter P, 1998. "Dynamic Choice and NonExpected Utility," Journal of Risk and Uncertainty, Springer, vol. 17(2), pages 87-119, November.
- Larry Epstein & Martin Schneider, 2004.
"Ambiguity, Information Quality and Asset Pricing,"
RCER Working Papers
507, University of Rochester - Center for Economic Research (RCER).
- Peter Klibano & Massimo Marinacci & Sujoy Mukerji, 2009.
"On the Smooth Ambiguity Model: A Reply,"
Levine's Working Paper Archive
814577000000000344, David K. Levine.
- Sujoy Mukerji & Peter Klibanoff, 2009. "On the Smooth Ambiguity Model: A Reply," Economics Series Working Papers 449, University of Oxford, Department of Economics.
- Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2011. "On the Smooth Ambiguity Model: A Reply," Working Papers 410, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.
- Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.
- Larry Epstein & Martin Schneider, 2006.
"Learning Under Ambiguity,"
RCER Working Papers
527, University of Rochester - Center for Economic Research (RCER).
- Riedel, Frank & Sass, Linda, 2013. "Strategic Ambiguity in Games," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80012, Verein für Socialpolitik / German Economic Association.
- Tatjana Chudjakow & Frank Riedel, 2013.
"The best choice problem under ambiguity,"
Springer, vol. 54(1), pages 77-97, September.
- Paul Viefers, 2012. "Should I Stay or Should I Go?: A Laboratory Analysis of Investment Opportunities under Ambiguity," Discussion Papers of DIW Berlin 1228, DIW Berlin, German Institute for Economic Research.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.