Mutual absolute continuity of multiple priors
Mutual absolute continuity of multiple priors
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DOI：
10.1016/j.jet.2006.12.004
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发表时间：
2007-11
期刊：
影响因子：
--
通讯作者：
Larry G. Epstein;M. Marinacci
中科院分区：
文献类型：
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作者：
Larry G. Epstein;M. Marinacci
从Epstein和Schneider [2]开始，近年来人们对吉尔博亚和Schmeidler [4]的多先验（MP）模型的动态版本越来越感兴趣，这是由于动态考虑在许多经济应用中的重要性。在MP模型的这些动态版本中，一个非常方便的性质是经常假设先验的相互绝对连续性，即它们对哪些事件为空的一致性。该协议使得先验的动态一致的贝叶斯更新成为可能，而不必处理只有一些先验认为为空的事件的更新，这大大简化了这些动态MP模型的分析。[1]在这里，我们提供了先验的这种一致性的行为表征。有趣的是，相关的行为条件被证明是Kreps [5]在他关于菜单选择的开创性论文中引入的条件的萨维奇框架的翻译。
Beginning with Epstein and Schneider [2], in recent years there has been a grow" ing interest in dynamic versions of the multiple" priors (MP) model of Gilboa and Schmeidler [4], motivated by the importance of dynamic considerations in many economic applications. In these dynamic versions of the MP model a very conve" nient property that is often assumed is mutual absolute continuity of the priors, that is, their agreement on which events are null. This agreement makes possible dynamically consistent Bayesian updating of the priors, without having to deal with updating on events that only some priors regard as null, something that greatly simplifies the analysis of these dynamic MP models. 1 Here we provide a behavioral characterization of this agreement property of the priors. Interestingly, the relevant behavioral condition turns out to be the translation into the Savage framework of a condition introduced by Kreps [5] in his seminal paper on menu choices.