Economics at your fingertips  

Bayesian learning with multiple priors and nonvanishing ambiguity

Alexander Zimper and Wei Ma ()
Additional contact information
Wei Ma: Xi’an Jiaotong-Liverpool University

Economic Theory, 2017, vol. 64, issue 3, No 1, 409-447

Abstract: Abstract The existing models of Bayesian learning with multiple priors by Marinacci (Stat Pap 43:145–151, 2002) and by Epstein and Schneider (Rev Econ Stud 74:1275–1303, 2007) formalize the intuitive notion that ambiguity should vanish through statistical learning in an one-urn environment. Moreover, the multiple priors decision maker of these models will eventually learn the “truth.” To accommodate nonvanishing violations of Savage’s (The foundations of statistics, Wiley, New York, 1954) sure-thing principle, as reported in Nicholls et al. (J Risk Uncertain 50:97–115, 2015), we construct and analyze a model of Bayesian learning with multiple priors for which ambiguity does not necessarily vanish in an one-urn environment. Our decision maker only forms posteriors from priors that survive a prior selection rule which discriminates, with probability one, against priors whose expected Kullback–Leibler divergence from the “truth” is too far off from the minimal expected Kullback–Leibler divergence over all priors. The “stubbornness” parameter of our prior selection rule thereby governs how much ambiguity will remain in the limit of our learning model.

Keywords: Ambiguity; Bayesian learning; Misspecified priors; Berk’s Theorem; Kullback–Leibler divergence; Ellsberg paradox (search for similar items in EconPapers)
JEL-codes: C11 D81 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Working Paper: Bayesian Learning with Multiple Priors and Non-Vanishing Ambiguity (2015) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.springer. ... eory/journal/199/PS2

DOI: 10.1007/s00199-016-1007-y

Access Statistics for this article

Economic Theory is currently edited by Nichoals Yanneils

More articles in Economic Theory from Springer, Society for the Advancement of Economic Theory (SAET) Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

Page updated 2021-01-15
Handle: RePEc:spr:joecth:v:64:y:2017:i:3:d:10.1007_s00199-016-1007-y