1. Bayesian Decision Theory and Stochastic Independence
- Author
-
Philippe Mongin, HEC Paris - Recherche - Hors Laboratoire, Ecole des Hautes Etudes Commerciales (HEC Paris), HEC Research Paper Series, and Haldemann, Antoine
- Subjects
FOS: Computer and information sciences ,Stochastic independence ,History ,Property (philosophy) ,Computer science ,Savage ,050905 science studies ,lcsh:QA75.5-76.95 ,History and Philosophy of Science ,Probability theory ,Computer Science - Computer Science and Game Theory ,Representation (mathematics) ,Probability interpretations ,Preference (economics) ,Probability measure ,Bayes estimator ,lcsh:Mathematics ,05 social sciences ,Probabilistic Independence ,JEL: D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D81 - Criteria for Decision-Making under Risk and Uncertainty ,Stochastic Independence ,Subjective expected utility ,lcsh:QA1-939 ,Philosophy ,Work (electrical) ,Mathematical development ,J2 ,[SHS.GESTION]Humanities and Social Sciences/Business administration ,lcsh:Electronic computers. Computer science ,Bayesian Decision Theory ,0509 other social sciences ,[SHS.GESTION] Humanities and Social Sciences/Business administration ,JEL: C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling ,Mathematical economics ,JEL: D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D89 - Other ,Computer Science and Game Theory (cs.GT) - Abstract
Stochastic independence has a complex status in probability theory. It is not part of the definition of a probability measure, but it is nonetheless an essential property for the mathematical development of this theory. Bayesian decision theorists such as Savage can be criticized for being silent about stochastic independence. From their current preference axioms, they can derive no more than the definitional properties of a probability measure. In a new framework of twofold uncertainty, we introduce preference axioms that entail not only these definitional properties, but also the stochastic independence of the two sources of uncertainty. This goes some way towards filling a curious lacuna in Bayesian decision theory., Comment: In Proceedings TARK 2017, arXiv:1707.08250
- Published
- 2020
- Full Text
- View/download PDF