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Bayesian inference does not lead you astray…on average

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  • Francetich, Alejandro
  • Kreps, David

Abstract

The expected value of the log of a Bayesian’s posterior assessment of the true state of nature, computed under the probability law of the true state, is always at least as large as the log of the prior.

Suggested Citation

  • Francetich, Alejandro & Kreps, David, 2014. "Bayesian inference does not lead you astray…on average," Economics Letters, Elsevier, vol. 125(3), pages 444-446.
    • Handle: RePEc:eee:ecolet:v:125:y:2014:i:3:p:444-446
    DOI: 10.1016/j.econlet.2014.10.022
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    References listed on IDEAS

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    1. Alejandro Francetich & David M. Kreps, 2014. "Choosing a Good Toolkit: An Essay in Behavioral Economics," Working Papers 524, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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    Cited by:

    1. Francetich, Alejandro & Kreps, David, 2020. "Choosing a good toolkit, II: Bayes-rule based heuristics," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    2. Kreps, David M. & Francetich, Alejandro, 2014. "Choosing a Good Toolkit: An Essay in Behavioral Economics," Research Papers 3060, Stanford University, Graduate School of Business.
    3. Hart, Sergiu & Rinott, Yosef, 2020. "Posterior probabilities: Dominance and optimism," Economics Letters, Elsevier, vol. 194(C).
    4. Sergiu Hart & Yosef Rinott, 2022. "Posterior Probabilities: Nonmonotonicity, Asymptotic Rates, Log-Concavity, and Tur\'an's Inequality," Papers 2209.11728, arXiv.org.

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      More about this item

      Keywords

      Bayesian inference; Submartingale; Log Posterior;
      All these keywords.

      JEL classification:

      • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
      • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General

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