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Empirical Distributions of Beliefs Under Imperfect Observation

dc.contributor.authorTomala, Tristan
dc.contributor.authorGossner, Olivier
dc.date.accessioned2011-05-12T10:13:47Z
dc.date.available2011-05-12T10:13:47Z
dc.date.issued2006
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6267
dc.language.isoenen
dc.subjectStochastic processen
dc.subjectsignalsen
dc.subjectentropyen
dc.subjectrepeated gamesen
dc.subject.ddc519en
dc.titleEmpirical Distributions of Beliefs Under Imperfect Observationen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenLet (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(xn | x1,...,xn–1), element of {Pi} = {Delta}(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(pn | x1,...,xn) isin {Delta}({Pi}) 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.en
dc.relation.isversionofjnlnameMathematics of Operations Research
dc.relation.isversionofjnlvol31en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2006
dc.relation.isversionofjnlpages13-30en
dc.relation.isversionofdoihttp://dx.doi.org/10.1287/moor.1050.0174en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherInformsen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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