Optimal aggregation of multiple signals: Optimality of linear aggregation rule and possibility of using the maximum or the minimum of signals

Sam-Ho Lee; Joonbae Lee

Optimal aggregation of multiple signals: Optimality of linear aggregation rule and possibility of using the maximum or the minimum of signals

Research output: Contribution to journal › Article › peer-review

Abstract

An optimal aggregation rule of multiple signals is studied. A sufficient condition for the optimality of a linear aggregation rule (the weighted sum of signals) and the common classes of signal distributions satisfying the condition are provided. Other aggregation rules such as rules using the maximum or the minimum are also considered and their usefulness is illustrated through examples.

Original language	English
Pages (from-to)	71-81
Number of pages	11
Journal	Journal of Economic Theory and Econometrics
Volume	25
Issue number	4
Publication status	Published - 2014 Jan 1

Keywords

Linear Aggregation
Rule using the Maximum or the Minimum
Signal Aggregation

ASJC Scopus subject areas

Economics and Econometrics

Cite this

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abstract = "An optimal aggregation rule of multiple signals is studied. A sufficient condition for the optimality of a linear aggregation rule (the weighted sum of signals) and the common classes of signal distributions satisfying the condition are provided. Other aggregation rules such as rules using the maximum or the minimum are also considered and their usefulness is illustrated through examples.",

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Optimal aggregation of multiple signals: Optimality of linear aggregation rule and possibility of using the maximum or the minimum of signals

Abstract

Keywords

ASJC Scopus subject areas

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