Is more data better?
Conventional wisdom usually suggests that agents should use all the data they have to make the best possible prediction. In this paper, however, it is shown that agents may sometimes be able to make better predictions by throwing away old data. The optimality criterion agents adopt is the mean squared error criterion.
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- Honkapohja, S. & Mitra, K., 1999.
"Learning with Bounded Memory in Stochastic Models,"
University of Helsinki, Department of Economics
456, Department of Economics.
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- repec:cup:macdyn:v:2:y:1998:i:3:p:287-321 is not listed on IDEAS
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