Bayesian methods have become widespread in the marketing literature. We review the essence of the Bayesian approach and explain why it is particularly useful for marketing problems. While the appeal of the Bayesian approach has long been noted by researchers, recent developments in computational...

This paper focuses on simulation-based inference for the time-deformation models directed by a duration process. In order to describe the heavy tail property of the time series of financial asset returns, the innovation of the observation equation is assumed to have a Student-t distribution....

A reanalysis and extension of Montgomery, Hollenbach, and Ward (2012) shows that the predictive performance of Ensemble Bayesian Model Averaging (EBMA) strongly depends on the conditions of the forecasting problem. EBMA is of limited value in situations with small samples and many component...

Bayesian decisions are observationally identical to decisions with judgment. Decisions with judgment test whether a judgmental decision is optimal and, in case of rejection, move to the closest boundary of the confidence interval, for a given confidence level. The resulting decisions condition...

A decision maker tests whether the gradient of the loss function evaluated at a judgmental decision is zero. If the test does not reject, the action is the judgmental decision. If the test rejects, the action sets the gradient equal to the boundary of the rejection region. This statistical...

We study how changes to the informativeness of signals in Bayesian games and single-agent decision problems affect the distribution of equilibrium actions. A more precise private signal about an unknown state of the world leads to an mean-preserving spread of an agent's beliefs. Focusing on...

Do experts form rational beliefs when making split-second, sophisticated judgments? A long literature suggests not: individuals often form prior beliefs from biased sampling and update those beliefs by improperly weighting new information. This paper studies belief formation by professional...