IID: independently and indistinguishably distributed

• 成果类型: Article
• 署名作者: Epstein, LG; Schneider, M
• 署名单位: University of Rochester; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/S0022-0531(03)00121-2
• 发表日期: 2003
• 页码: 32-50
• 关键词: Ambiguity; multiple-priors; regular measures; law of large numbers; independent beliefs; independent experiments; dynamic consistency; Ellsberg paradox; Robust control; recursive utility

摘要

The inability of the Bayesian model to accommodate 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 proof 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. (C) 2003 Elsevier Science (USA). All rights reserved.