Experimentation with heteroskedastic noise
type: Item
instance of: scholarly article
title: Experimentation with heteroskedastic noise
zbMATH Open document ID: 0813.90022
DOI: 10.1007/BF01221204
author: Anthony Creane
published in: Economic Theory
publication date: 1995-01-05T00:00:00Z
review text: In models of active learning or experimentation with noisy observations, the informativeness of the signal obviously depends on the (not always evident) relationship between the choice variable and the noise. This previously implicit relationship is made explicit by introducing heteroskedastic noise into the model. The general conditions for the informativeness of the signal to be independent or decrease with respect to the choice variable are obtained. Furthermore, the model reveals that many of the results in previous models of learning do not arise from what is unknown nor the existence of uncertainty per se, but rather from how incomplete information is modeled.
Mathematics Subject Classification ID: 91B44
Mathematics Subject Classification ID: 91B06
zbMATH DE Number: 707344
zbMATH Keywords: heteroskedasticity
zbMATH Keywords: active learning
zbMATH Keywords: experimentation
zbMATH Keywords: existence of uncertainty
zbMATH Keywords: incomplete information
MaRDI profile type: Publication
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full work available at URL: https://doi.org/10.1007/bf01221204
OpenAlex ID: W2021715176
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description: scientific article; zbMATH DE number 707344