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Merging of Forecasts in Markov Models

Lee, Ho W. (1996) Merging of Forecasts in Markov Models. Social Science Working Paper, 951. California Institute of Technology , Pasadena, CA. (Unpublished) https://resolver.caltech.edu/CaltechAUTHORS:20170817-140138224

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Abstract

Blackwell and Dubins (1962) and Kalai and Lehrer (1994) showed that absolute continuity is necessary and sufficient for merging of opinions. This paper suggests the concept of merging of forecasts which is a modification of merging of opinions in Markov models where the underlying state of nature may change over time. We define the merging of forecasts as the conditional probabilities of the future state given the past observations of signals drawn conditional on the state get close to each other for different agents; it allows for the event that agents agree on the future evolution of the states even if they have not agreed in the distant past. For an ergodic Markov chain, any forecasts merge. In particular, we can dispense with the absolute continuity for merging of forecasts.


Item Type:Report or Paper (Working Paper)
Additional Information:I acknowledge the financial support from ESRC Research Fellowship. Remaining errors are mine.
Group:Social Science Working Papers
Funders:
Funding AgencyGrant Number
Economic and Social Research Council (ESRC)UNSPECIFIED
Series Name:Social Science Working Paper
Issue or Number:951
Record Number:CaltechAUTHORS:20170817-140138224
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20170817-140138224
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:80569
Collection:CaltechAUTHORS
Deposited By: Jacquelyn Bussone
Deposited On:21 Aug 2017 17:19
Last Modified:03 Oct 2019 18:32

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