Statistical Inference As a Bargaining Game
AbstractThis paper extends the analogy, previously established by Learner (1978a), between a Bayesian inference problem and an economics allocation problem to show that posterior modes can be interpreted as optimal outcomes of a bargaining game. This bargaining game, over a parameter value, is played between two players: the researcher (with preferences represented by the prior) and the data (with preferences represented by the likelihood).
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 02/81.
Date of creation: 01 Apr 2002
Date of revision:
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Other versions of this item:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory
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- Ken Binmore, 1998. "Game Theory and the Social Contract - Vol. 2: Just Playing," MIT Press Books, The MIT Press, edition 1, volume 2, number 0262024446, December.
- Fair, Ray C, 1971. "The Optimal Distribution of Income," The Quarterly Journal of Economics, MIT Press, vol. 85(4), pages 551-79, November.
- Nash, John, 1950. "The Bargaining Problem," Econometrica, Econometric Society, vol. 18(2), pages 155-162, April.
- Conley, John P. & Wilkie, Simon, 1996. "An Extension of the Nash Bargaining Solution to Nonconvex Problems," Games and Economic Behavior, Elsevier, vol. 13(1), pages 26-38, March.
- Nash, John, 1953. "Two-Person Cooperative Games," Econometrica, Econometric Society, vol. 21(1), pages 128-140, April.
- Walter N. Thurman & Tyler J. Fox & Tayler H. Bingham, 2001. "Imposing Smoothness Priors In Applied Welfare Economics: An Application Of The Information Contract Curve To Environmental Regulatory Analysis," The Review of Economics and Statistics, MIT Press, vol. 83(3), pages 511-522, August.
- Zellner, Arnold, 2002. "Information processing and Bayesian analysis," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 41-50, March.
- Crawford, Vincent P., 2000.
"John Nash and the Analysis of Strategic Behavior,"
University of California at San Diego, Economics Working Paper Series
qt4r56g8kd, Department of Economics, UC San Diego.
- Sen, Amartya, 1970. "Interpersonal Aggregation and Partial Comparability," Econometrica, Econometric Society, vol. 38(3), pages 393-409, May.
- Ken Binmore, 1994. "Game Theory and the Social Contract, Volume 1: Playing Fair," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262023636, December.
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