Chambers, Christopher P. and Hayashi, Takashi (2005) Bayesian consistent prior selection. Social Science Working Paper, 1238. California Institute of Technology , Pasadena, CA. (Unpublished) https://resolver.caltech.edu/CaltechAUTHORS:20170808-133741084
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Abstract
A subjective expected utility agent is given information about the state of the world in the form of a set of possible priors. She is allowed to condition her prior on this information. A set of priors may be updated according to Bayes’ rule, prior-by-prior, upon learning that some state of the world has not obtained. We show that there exists no decision maker who obeys Bayes’ rule, conditions her prior on the available information (by selecting a prior in the announced set), and who updates the information prior-by- prior using Bayes’ rule. The result implies that at least one of several familiar decision theoretic “paradoxes” is a mathematical necessity.
Item Type: | Report or Paper (Working Paper) | ||||
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ORCID: |
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Additional Information: | We would like to thank Kim Border, Federico Echenique, Larry Epstein, and Bill Zame for helpful discussions and comments. All errors are our own. | ||||
Group: | Social Science Working Papers | ||||
Subject Keywords: | subjective expected utility, Bayes’ rule, prior selection | ||||
Series Name: | Social Science Working Paper | ||||
Issue or Number: | 1238 | ||||
Classification Code: | JEL: C11, D01, D80, D81 | ||||
Record Number: | CaltechAUTHORS:20170808-133741084 | ||||
Persistent URL: | https://resolver.caltech.edu/CaltechAUTHORS:20170808-133741084 | ||||
Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | ||||
ID Code: | 79939 | ||||
Collection: | CaltechAUTHORS | ||||
Deposited By: | Hanna Storlie | ||||
Deposited On: | 09 Aug 2017 18:57 | ||||
Last Modified: | 09 Mar 2020 13:18 |
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