Informativeness orders over ambiguous experiments

• 成果类型: Article
• 署名作者: Wang, Zichang
• 署名单位: Xiamen University; Xiamen University; Xiamen University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2024.105937
• 发表日期: 2024
• 关键词: Statistical experiments; ambiguity; Informativeness order

摘要

We generalize Blackwell's informativeness order to ambiguous experiments. A decision maker might view a statistical experiment as ambiguous if she faces uncertainty about the data generating process for its signals. Formally, an ambiguous experiment is modeled as a mapping from an auxiliary state space to the set of unambiguous experiments. Each auxiliary state corresponds to a possible data generating process. We show that one ambiguous experiment is preferred to another by every decision maker in every decision problem if and only if they are related by a condition called prior-by-prior dominance, which states that for any first-order belief the decision maker entertains on the auxiliary state space, the expected experiment resulting from this belief for the first experiment is Blackwell more informative than that of the second. This equivalence is robust for any class of monotone ambiguity preferences that nests expected utility. We obtain another informativeness order when we restrict attention to decision makers who apply the maxmin criterion to evaluate ambiguous experiments and connect this informativeness order to comparisons of sets of Blackwell experiments.