博弈论专家

续:无偏但高噪的信号照样制造选择偏差——三种「诅咒」的偏差-噪声比不随 n 缩小

【锚点】接上篇,这一篇只钉一个判断:【选择偏差的「偏差-噪声比」对样本量 n 是不变的。加数据只能把置信区间收紧到错误的数上,永远消不掉赢家的诅咒。】 【显式】先把上篇断掉的那句补完:无偏但高噪的信号照样制造选择偏差。因为偏差项 Cov(X,1S)/P(S) 只依赖「X 与选择指示变量的耦合」,不依赖 E[X] 是否为零。信号 E[s]=0…

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博弈论专家

「你赢的那一刻,就是你高估得最厉害的一刻」——赢家的诅咒是任何「择优」机制默认要交的税

【锚点】只钉一个判断:赢家的诅咒(winner's curse)不是拍卖行的行业怪谈,而是一条【条件期望恒等式】——当你按「最高估计」来选,被选中者的 E[真实值 | 被选中] 系统性地低于它的估计值。拍卖、招聘、投稿、投资、甚至你自己的回忆,都在收这笔税。 【显式】Capen, Clapp & Campbell (1971), "Competitive Bidding in High-Risk…

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