10 views

Uploaded by Rui Xin

- 27977880
- CRARY, Jonathan. Capital Effects
- ARMONY Y ARMONY - Citizen Mobilization in Argentina
- Holmes, David H._several Papers on the Philosophy of the Composition of Verbs With Prepositions in Greek [...]. 5_The New York Latin Leaflet, 2, 48_1902!1!2
- practical piaget in the classroom
- 4149900.pdf
- Neale-Silva - 1939 - The Factual Bases of La Voragine - Pmla
- Environment Protection Versus Economic Development: A false Trade-Off
- Laclau - Psychoanalysis and Marxism
- 10.2307@1496783
- Who Are You, Olivier Messiaen
- In Defense of Wirth
- BusPlanJSTOR2
- Right to Education Act - A Comment
- Untitled
- Habu RoyWagner Resenha
- 3060799.pdf
- Bayat 2007 - When Muslims and Modernity Meet
- Tendrils De
- An Archaeo-Organological Survey of the Netherlands

You are on page 1of 4

58, No. 5 (Sep., 1990), pp. 1241-1243 Published by: The Econometric Society Stable URL: http://www.jstor.org/stable/2938309 Accessed: 20/11/2010 12:56

Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/page/info/about/policies/terms.jsp. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your personal, non-commercial use. Please contact the publisher regarding any further use of this work. Publisher contact information may be obtained at http://www.jstor.org/action/showPublisher?publisherCode=econosoc. Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the screen or printed page of such transmission. JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@jstor.org.

The Econometric Society is collaborating with JSTOR to digitize, preserve and extend access to Econometrica.

http://www.jstor.org

Econometnica, 58, No. 5 (September, Vol. 1990),1241-1243 A SIMPLE CHARACTERIZATION OF STOCHASTICALLY MONOTONE FUNCTIONS BERGIN ANDADAMBRANDENBURGER1 BY JAMES

McKELVEYAND PAGE (1986) proved a remarkable theorem on common RECENTLY, knowledge. Suppose n individuals start with a common prior and then form conditional probabilities of some event of interest based on their different information. If a stochastically monotone aggregate of the n conditional probabilities is common knowledge, then the assessments must be identical. In this note we show that the aggregation of individual assessments allowed for in the theorem admits an elementary characterization: a function is stochastically monotone if and only if it is additively separable into strictly increasing components. This result is used in Nielsen, Brandenburger, Geanakoplos, McKelvey, and Page (1990) to extend McKelvey and Page's theorem to conditional expectations and, at the same time, to provide a very simple and brief proof of the more general theorem. In order to state the result of this note, some preliminary definitions are needed.

Then ,u DEFINITION 1: Let A and v be probability measures on the Borel subsets of OR. stochastically dominates v if A((-oo,x]) < v((-o, x]) for every x e0R. If, moreover, ((- oo,x]) < v((- oo,x]) for some x, then ,u strictlystochastically dominates v.

let Given a probability measure ,u on the Borel subsets of R;8n, Ai, i = 1,... , n, denote the ith marginal of ,u. That is, for any Borel subset B of OR, p.i(B) = A({(xi,. . ., xn) E R8n: B}). xi E=

DEFINITION Let ,u and v be probability measures on the Borel subsets of RWn 2: . Then

,u stochastically dominates v if A.i stochastically dominates vi for every i = 1,..., n. If,

moreover, pi. strictly stochastically dominates vi for some i, then p. strictlystochastically dominates v.

DEFINITION A function f: wRn R is stochastically monotone if, given probability 3: -0 measures p. and v on the Borel subsets of R n for which ffdp. and ffdv exist and are finite, ffdp. > ff dv whenever p. strictly stochastically dominates v.

PROPOSITION: A fuinctionf: R8 nR is stochastically monotone if and only if it can be writtenin the form f (x) = En= lfi(xi) where each fi: R -0 R is strictlyincreasing. 1 Financial supportfromthe Harvard BusinessSchoolDivisionof Researchis gratefully acknowledged.

1241

1242

and is The proof of sufficiency given in McKelvey Page (1986)and is repeatedhere for the sake of completeness.If f(x)= E1 1fi(xi) where each fi is strictlyincreasing,then ff(x) dA(x)

=

f E f,(xi)

i=1

dA(x)

i=l1

n =

Effi(xi) dAi(x)

Effi(x,)

dAi(xi)

i=l1

n

>

LEMMA 1:

PROOF: Supposewithout loss of generalitythat f is not strictlyincreasingin its first with xl >Y1 such that and component.Then there is an x E wRn a Y1E OR

f (Xl, x2, . , Xn) '-:'f (Yl, X2, * * *, Xn) .

x)

A(XlIX2I

1. Then A

..

I Xn)

x2,

*,Xn).

Q.E.D.

In Lemma 3 we show that stochastic monotonicity implies additive separability. The proof will use the following condition for additive separability.

LEMMA2: The function f is additively separable if and only iffor every i = 1, ...

,

n and all

Xi+l, * * * SXn) (= Rtn-

Xn) is independent

PROOF:Necessity is immediate. To prove sufficiency, note that the independence hypothesis applied to i = 1 implies that

(1) f(x1,x2. * I Xn)

(O, O,

*, )

f(?'X2'

2 yields

X3 *** Xn)

* ,)-

f (Xl I X2 SX3 S** Xn) = f (xi,

?, ?, . .

) + f (0 X21 0? .. ., ?)

STOCHASTICALLY

MONOTONE

FUNCTIONS

1243

f (Xl,..Xn) =f (Xi, 0, * -,O) +f (O X2, *S.lO) + .

LEMMA If f is stochastically monotone, then it is additivelyseparable. 3: PROOF:If f is not additively separable, then by Lemma 2 there are x, y E R;8n such that, without loss of generality,

af(Xl

I X2 S**

Xn)

-f

>(Xl IY2,---YJ

- f(Yl IY2,---YJ-b.

Suppose, again without loss of generality, that x1 > Yi Then by Lemma 1, a > 0 and

b > 0. Construct ,u and v to satisfy

V(X1 I X2, * ,Xn) =

V(yi,

X2

**

Xn)

v(nle

A(Xi,

A

X2, ....* Xn)

= *c

4

=41 +a6,

Y2,. Ythat

41+ El 41 -E

where 0 < < 4 and O< e < 4. Notice that if 5 < e, then ,u strictly stochastically dominates v. A simple calculation shows that ffd,u -ffdv = eb -8a Hence choosing be/a < 8 <e shows that f is not Q.E.D.

Lemmas 1 and 3 establish the Proposition. Department of Economics, Queen's University,Kingston, Canada K7L 3N6 and Harvard Business School, Boston, M4 02163, U. S. A.

ManuscriptreceivedAugust, 1989; final revision received September,1989. REFERENCES R., AND T. PAGE (1986): "Common Knowledge, Consensus, and Aggregate Information," Econometrica, 54, 109-127. L. T., A. BRANDENBURGER, NIELSEN, J. GEANAKOPLOS, R. MCKELVEY, AND T. PAGE (1990): "Common Knowledge of an Aggregate of Expectations," Econometrica, 58, 1235-1239.

MCKELVEY,

- 27977880Uploaded byCarlosFR
- CRARY, Jonathan. Capital EffectsUploaded byGuilherme
- ARMONY Y ARMONY - Citizen Mobilization in ArgentinaUploaded byEric Simon
- Holmes, David H._several Papers on the Philosophy of the Composition of Verbs With Prepositions in Greek [...]. 5_The New York Latin Leaflet, 2, 48_1902!1!2Uploaded bythe gathering
- practical piaget in the classroomUploaded byapi-365664568
- 4149900.pdfUploaded byerbarium
- Neale-Silva - 1939 - The Factual Bases of La Voragine - PmlaUploaded bymagnussn
- Environment Protection Versus Economic Development: A false Trade-OffUploaded byBambang Nugroho
- Laclau - Psychoanalysis and MarxismUploaded byjuanburidan
- 10.2307@1496783Uploaded byJosé Villalobos-Ruiz
- Who Are You, Olivier MessiaenUploaded byAlisson Ramos De Souza
- In Defense of WirthUploaded byXue Adams
- BusPlanJSTOR2Uploaded byÖmer Suvari
- Right to Education Act - A CommentUploaded byPulokesh Ghosh
- UntitledUploaded byapi-277160707
- Habu RoyWagner ResenhaUploaded bygrenigma
- 3060799.pdfUploaded byerbarium
- Bayat 2007 - When Muslims and Modernity MeetUploaded bymind.ash
- Tendrils DeUploaded byramongonza
- An Archaeo-Organological Survey of the NetherlandsUploaded byLeniad Wolfschanze Muñeira
- Wilson- Review of Mackenzie - Canada & Int Aviation-32-48 (1991)Uploaded bySiesmic
- Jstor the Population of BorneoUploaded byitaahris_229516078
- Thomas Noonan-ninth-century Dirham Hoards From Northwestern Russia and the Southeastern BalticUploaded bywaouu
- frampton prospects critical regionalism[1].pdfUploaded bySabic Lejla
- AD RubinWatsonJamborUploaded byMariana Bitsiou
- The Cyrus Cylinder 01Uploaded bybaguenara
- Wind 1Uploaded byanotherharu
- Research paper by PitkinUploaded byRohit Vanapalli
- The Three Waves of Globalization: A History of a Developing Global Consciousness by Robbie Robertson Review by: M. June Flanders Source: The International History Review, Vol. 26, No. 2 (Jun., 2004), Pp. 461-463 Published by: Taylor & Francis, Ltd.Uploaded byGeorgia Liu
- Commons_A Sociological View of Sovereignty IUploaded byAndré Magnelli

- Effects of Culture on Aptitude TestsUploaded byAkki Bakki
- AerodynamicsUploaded byjanhavinakhare
- So You Think Your Mind is Renewed by Cornel MaraisUploaded byyeshua84
- Around the WorldUploaded byAida Mohammed
- Amazing System of Vedic MathematicsUploaded bysakshij91
- Deloitte - COSO III 2013 - Lunch PresentationUploaded byAnkur Mittal
- Note Modeling SimulationUploaded byRajrdb
- Computer Architecture (Part 1)Uploaded byCyril
- 1818 - A Dissertation on the Book or Revelation (James Gray).pdfUploaded byJon Stavros
- Legal Method NotesUploaded byEmmanuel Emigdio Dumlao
- Design of Planar Rectangular Microelectronic InductorsUploaded byChava Michigan
- Logic Chapter 4 6Uploaded byJane Rhea
- Programmed InstructionUploaded byakhimoloos
- Protecting Biodiversity: A Guide to Criteria Used by Global Conservation OrganizationsUploaded byJorge Carrillo
- Bc AssignmentUploaded byAisha Barbie
- Taxation Course WorkUploaded byjmsbaguma775
- Evaporator 2Uploaded byshaifol
- MIND MAPPINGUploaded byعمرو دراغمة
- French RevolutionUploaded byverito
- PCEIA_BIUploaded byWenny Khoo
- Carus (God) (1908)Uploaded byMarcelo Silvano de Camargo
- Size Pre-Big BangUploaded byGonzalo A Ordonez
- Ammo Echioceratidae J1 Revision GETTY 1973Uploaded byXavier Navarro Koston
- AConcEnc PhiloRelig.pdfUploaded byВукашин Б Васић
- karanja-evanson-mwangi-cit-masters-report-libre.pdfUploaded byTohko Amano
- Contemporary Retail Marketing Module Guide_2015.DocUploaded byshah
- Litere Engleza Licenta 2014Uploaded byMuntean Diana Carmen
- Fall 2018 CatalogUploaded byKasweeney
- Blake Ostler Spiritual ExperiencesUploaded byJohn Pound II
- Planets ChartsUploaded bygeorgeinpune