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Journal of Economic Theory and Econometrics
Journal of the Korean Econometric Society
Optimal Aggregation of Multiple Signals: Optimality of Linear Aggregation Rule and Possibility of Using the Maximum or the Minimum of Signals
Vol.25, No.4, December 2014, 71–81
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Sam-Ho Lee
(Department of Economics, Korea University)
Joonbae Lee
(Department of Economics, University of Pennsylvania)
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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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Keywords
Signal Aggregation, Linear Aggregation, Rule using the Maximum or the Minimum |
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