Theoretical Economics
Journal of the Econometric Society
Edited by: Federico Echenique • ISSN (e): 1555-7561 • ISSN (print): 1933-6837
Edited by: Federico Echenique • ISSN (e): 1555-7561 • ISSN (print): 1933-6837
Theoretical Economics: Nov, 2024, Volume 19, Issue 4
https://doi.org/10.3982/TE6057
p. 1399-1413
Anton Kolotilin, Alexander Wolitzky
We offer a simple analysis of the problem of choosing a statistical experiment to optimize the induced distribution of posterior medians, or more generally q-quantiles for any q ∈ (0,1). We show that a single experiment---the q-quantile matching experiment---implements all implementable distributions of posterior q-quantiles, with different distributions spanned by different selections from the sets of posterior q-quantiles. A dense subset of implementable distributions of posterior q-quantiles can be uniquely implemented by perturbing the q-quantile matching experiment. A linear functional is optimized over distributions of posterior q-quantiles by taking the optimal selection from each set of posterior q-quantiles. The q-quantile matching experiment is the only experiment that simultaneously implements all implementable distributions of posterior q-quantiles.