Bayesian Inference Does Not Lead You Astray...on Average

Title:

Bayesian Inference Does Not Lead You Astray...on Average

GSB Authors:

David Kreps

All Authors:

Francetich, A.

Kreps, David.

Date:

2014-10-29

Abstract:

The expected value of the log of a Bayesian's posterior assessment of the true state of nature, computed under the probability law of the true state, is always at least as large as the log of the prior.

Publication:

Economics Letters

Volume:

125

Issue:

3

Page Range:

444-446

Collection:

Faculty Publications

Keywords:

bayesian inference

c1

c11

log posterior

submartingale

bayesian analysis

mathematical statistics

expected returns

probability theory

arithmetic mean

logarithms

martingales (mathematics)

DOI:

https://doi.org/10.1016/j.econlet.2014.10.022

Publication Type:

Articles