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Multiple Priors as Similarity Weighted Frequencies

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  • Eichberger, Jürgen
  • Guerdjikova, Ani

Abstract

In this paper, we consider a decision-maker who tries to learn the distribution of outcomes from previously observed cases. For each observed sequence of cases the decision-maker predicts a set of priors expressing his beliefs about the underlying probability distribution. We impose a version of the concatenation axiom introduced in BILLOT, GILBOA, SAMET AND SCHMEIDLER (2005) which insures that the sets of priors can be represented as a weighted sum of the observed frequencies of cases. The weights are the uniquely determined similarities between the observed cases and the case under investigation.

Suggested Citation

  • Eichberger, Jürgen & Guerdjikova, Ani, 2008. "Multiple Priors as Similarity Weighted Frequencies," Papers 08-07, Sonderforschungsbreich 504.
    • Handle: RePEc:mnh:spaper:2028
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    File URL: https://madoc.bib.uni-mannheim.de/2028/1/dp08_07.pdf
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    References listed on IDEAS

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