Partially Identified Ambiguity

Abstract

This paper develops a theory of learning under ambiguity induced by the decision maker's beliefs about the collection of data correlated with the true state of the world. Within our framework, two classical results on Bayesian learning extend to the setting with ambiguity: experiments are equivalent to distributions over posterior beliefs, and Blackwell's more informative and more valuable orders coincide. When applied to the setting of robust Bayesian analysis, our results clarify the source of time inconsistency in the Gamma-minimax problem and provide an argument in favor of the conditional Gamma-minimax criterion. We also apply our results to a persuasion game to illustrate that our model provides a natural benchmark for communication under ambiguity.