Laws of large numbers for non-additive probabilities


Autoria(s): Dow, James; Werlang, Sérgio Ribeiro da Costa
Data(s)

13/05/2008

13/05/2008

01/12/1993

Resumo

We apply the concept of exchangeable random variables to the case of non-additive robability distributions exhibiting ncertainty aversion, and in the lass generated bya convex core convex non-additive probabilities, ith a convex core). We are able to rove two versions of the law of arge numbers (de Finetti's heorems). By making use of two efinitions. of independence we rove two versions of the strong law f large numbers. It turns out that e cannot assure the convergence of he sample averages to a constant. e then modal the case there is a true" probability distribution ehind the successive realizations of the uncertain random variable. In this case convergence occurs. This result is important because it renders true the intuition that it is possible "to learn" the "true" additive distribution behind an uncertain event if one repeatedly observes it (a sufficiently large number of times). We also provide a conjecture regarding the "Iearning" (or updating) process above, and prove a partia I result for the case of Dempster-Shafer updating rule and binomial trials.

Identificador

0104-8910

http://hdl.handle.net/10438/727

Idioma(s)

en_US

Publicador

Escola de Pós-Graduação em Economia da FGV

Relação

Ensaios Econômicos;226

Direitos

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Palavras-Chave #Lei dos grandes numeros #Probabilidades #Estatistica matematica #Economia #Lei dos grandes números #Probabilidades #Estatística matemática
Tipo

Working Paper