Multiple Priors as Similarity Weighted Frequencies

Jürgen Eichberger and Ani Guerdjikova ()
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Ani Guerdjikova: Cornell University, Postal: Uris Hall 462, Ithaca, NY 14853

No 08-07, Sonderforschungsbereich 504 Publications from Sonderforschungsbereich 504, Universität Mannheim, Sonderforschungsbereich 504, University of Mannheim

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.

Pages: 39 pages
Date: 2008-05-26
New Economics Papers: this item is included in nep-upt
Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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Working Paper: Multiple Priors as Similarity Weighted Frequencies (2007)
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