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.
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Bibliographic InfoPaper provided by University of Rochester - Center for Economic Research (RCER) in its series RCER Working Papers with number 496.
Length: 23 pages
Date of creation: Oct 2002
Date of revision:
Publication status: forthcoming in JET
Contact details of provider:
Postal: University of Rochester, Center for Economic Research, Department of Economics, Harkness 231 Rochester, New York 14627 U.S.A.
ambiguity; multiple-priors; Ellsberg Paradox; recursive utility; law of large numbers; independent experiments; exchangeable experiments;
Other versions of this item:
- Epstein, Larry G. & Schneider, Martin, 2003. "IID: independently and indistinguishably distributed," Journal of Economic Theory, Elsevier, vol. 113(1), pages 32-50, November.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-10-23 (All new papers)
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