IID: Independently and Indistinguishably Distributed

Larry Epstein and Martin Schneider

No 496, RCER Working Papers from University of Rochester - Center for Economic Research (RCER)

Abstract: The inability of the Bayesian model to accomodate Ellsberg-type behavior is well known. This paper focuses on another limitation of the Bayesian model, specific to a dynamic setting, namely the inability to permit a distinction between experiments that are identical and those that are only indistinguishable. It is shown that such a distinction is afforded by recursive multiple-priors utility. Two related technical contributions are the proff of a strong LLN for recursive multiple-priors utility and the extension to sets of priors of the notion of regularity of a probability measure.

Keywords: ambiguity; multiple-priors; Ellsberg Paradox; recursive utility; law of large numbers; independent experiments; exchangeable experiments (search for similar items in EconPapers)
JEL-codes: D81 D83 D9 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2002-10
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Forthcoming in JET

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Journal Article: IID: independently and indistinguishably distributed (2003)
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