Calibration and Bayesian learning.

DOI10.1016/S0899-8256(02)00010-6MaRDI QIDQ1867026zbMATH OpenFDO

Authors Nurlan Turdaliev

Publication date 2 April 2003

Published in Games and Economic Behavior (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0899-8256(02)00010-6

zbMATH Keywords

Bayesian learningCalibrationForecastRepeated games

Mathematics Subject Classification ID

Multistage and repeated games (91A20) Rationality and learning in game theory (91A26)

Review text

According to the author, in a repeated game of incomplete information, myopic players form beliefs on next-period play and choose strategies to maximize next-period payoffs, and their beliefs are treated as forecast of future plays. The forecast accuracy is assessed using calibration tests, which measure asymptotic accuracy of beliefs against some reliazations; the beliefs are calibrated if they pass all calibration tests. For a positive Lebesgue measure of payoff vectors, beliefs are not calibrated; but if a payoff vector and a calibration test are drawn from a suitable product measure, beliefs pass the calibration test almost surely.

Recommendations

• Bayesian calibration of computer models. (With discussion)
• scientific article; zbMATH DE number 3934215
• A Bayesian approach to multivariate and conditional calibration
• A linear empirical Bayes solution for the calibration problem.
• Bayesian Nonparametric Calibration and Combination of Predictive Distributions
• Bayesian analysis of the calibration problem under elliptical distributions.
• Bayesian parameter learning with an application

Cites work

• Any Inspection is Manipulable
• Bayesian learning in normal form games
• Bayesian learning leads to correlated equilibria in normal form games
• Bayesian Representation of Stochastic Processes under Learning: de Finetti Revisited
• Calibrated forecasting and merging
• Calibrated learning and correlated equilibrium
• Correlated equilibrium in games with type-dependent strategies
• scientific article; zbMATH DE number 3875591 (Why is no real title available?)
• scientific article; zbMATH DE number 1189219 (Why is no real title available?)
• scientific article; zbMATH DE number 19674 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• Prediction, Optimization, and Learning in Repeated Games
• Rational Learning Leads to Nash Equilibrium
• The Well-Calibrated Bayesian

Cited in

(2)

• An easier way to calibrate.
• Bayesian learning in repeated games of incomplete information

This page was built for publication: Calibration and Bayesian learning.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1867026)