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Bayesian Updating with Confounded Signals |
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| Authors: | Neda Farzinnia Kevin F. McCardle |
| Affiliation: | 1. Internet Marketing Analytic and Customer Insights, User Analytic and Display Advertising Optimization, eBay, Inc. , San Jose, California, USA nfarzinnia@ebay.com;3. UCLA Anderson School of Management , University of California , Los Angeles, California, USA |
| Abstract: | We develop a Bayesian framework for estimating the means of two random variables when only the sum of those random variables can be observed. Mixture models are proposed for establishing conjugacy between the joint prior distribution and the distribution for observations. Among other desirable features, conjugate distributions allow Bayesian methods to be applied in sequential decision problems. |
| Keywords: | Bayes estimates Bayesian updating Confounded signal Conjugacy Investment strategy Mixture models |