Information theory offers a coherent perspective on model selection. As in Rissanen's original application of information theory to model selection, our perspective arises from viewing a model as a component of a compressed representation of data in a two-part code. The first part of such a code...

Over the past few years many proofs of calibration have been presented (Foster and Vohra (1991, 1997), Hart (1995), Fudenberg and Levine (1995), Hart and Mas-Colell (1996)). Does the literature really need one more? Probably not, but this algorithim for being calibrated is particularly simple...

We propose a framework for reconciling frequentist and subjectivist views of probability. In an environment with repeated trails we show that beliefs about the possible states of nature can be represented by probabilities. Second, these probabilities will correspond to long run frequencies. In...