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A probabilistic interpretation of the constant gain algorithm

Author

Listed:
  • Berardi, Michele

Abstract

This paper proposes a novel interpretation of the constant gain learning algorithm through a probabilistic setting with Bayesian updating. Such framework allows to understand the gain coefficient in terms of the probability of changes in the estimated quantity.

Suggested Citation

  • Berardi, Michele, 2019. "A probabilistic interpretation of the constant gain algorithm," MPRA Paper 94023, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:94023
    as

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    File URL: https://mpra.ub.uni-muenchen.de/94023/1/MPRA_paper_94023.pdf
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    References listed on IDEAS

    as
    1. Berardi, Michele & Galimberti, Jaqueson K., 2013. "A note on exact correspondences between adaptive learning algorithms and the Kalman filter," Economics Letters, Elsevier, vol. 118(1), pages 139-142.
    2. Stefano Eusepi & Bruce Preston, 2011. "Expectations, Learning, and Business Cycle Fluctuations," American Economic Review, American Economic Association, vol. 101(6), pages 2844-2872, October.
    3. Thomas Sargent & Noah Williams & Tao Zha, 2006. "Shocks and Government Beliefs: The Rise and Fall of American Inflation," American Economic Review, American Economic Association, vol. 96(4), pages 1193-1224, September.
    4. Fabio Milani, 2011. "Expectation Shocks and Learning as Drivers of the Business Cycle," Economic Journal, Royal Economic Society, vol. 121(552), pages 379-401, May.
    5. Berardi, Michele & Galimberti, Jaqueson K., 2017. "Empirical calibration of adaptive learning," Journal of Economic Behavior & Organization, Elsevier, vol. 144(C), pages 219-237.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Bayesian learning; adaptive learning; constant gain.;

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • D90 - Microeconomics - - Micro-Based Behavioral Economics - - - General

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