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Entropy Bounds on Bayesian Learning

Gossner, Olivier; Tomala, Tristan (2008), Entropy Bounds on Bayesian Learning, Journal of Mathematical Economics, 44, 1, p. 24-32. http://dx.doi.org/10.1016/j.jmateco.2007.04.006

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Type
Article accepté pour publication ou publié
Date
2008
Journal name
Journal of Mathematical Economics
Volume
44
Number
1
Publisher
Elsevier
Pages
24-32
Publication identifier
http://dx.doi.org/10.1016/j.jmateco.2007.04.006
Metadata
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Author(s)
Gossner, Olivier
Tomala, Tristan
Abstract (EN)
An observer of a process View the MathML source believes the process is governed by Q whereas the true law is P. We bound the expected average distance between P(xt|x1,…,xt−1) and Q(xt|x1,…,xt−1) for t=1,…,n by a function of the relative entropy between the marginals of P and Q on the n first realizations. We apply this bound to the cost of learning in sequential decision problems and to the merging of Q to P.
Subjects / Keywords
Bayesian learning; Repeated decision problem; Value of information; Entropy
JEL
C11 - Bayesian Analysis: General

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