Empirical distributions of beliefs under imperfect observation

Empirical distributions of beliefs under imperfect observation

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Article ID: iaor200935010
Country: United States
Volume: 31
Issue: 1
Start Page Number: 13
End Page Number: 30
Publication Date: Feb 2006
Journal: Mathematics of Operations Research
Authors: ,
Abstract:

Let (xn)n be a process with values in a finite set X and law P, and let yn = f(xn) be a function of the process. At stage n, the conditional distribution pn = P(xnx1,…,xn-1), element of Π = Δ(X), is the belief that a perfect observer, who observes the process online, holds on its realization at stage n. A statistician observing the signals y1,…,yn holds a belief en = P(pnx1,…,xn) ∈ Δ(Π) on the possible predictions of the perfect observer. Given X and f, we characterize the set of limits of expected empirical distributions of the process (en) when P ranges over all possible laws of (xn)n.

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