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dc.contributor.authorMiao, Jianjunen_US
dc.contributor.authorWu, Jieranen_US
dc.contributor.authorYoung, Ericen_US
dc.date.accessioned2020-06-19T13:37:45Z
dc.date.available2020-06-19T13:37:45Z
dc.date.issued2018-12-01
dc.identifier.citationJianjun Miao, Jieran Wu, Eric Young. "Multivariate rational inattention." 53 pages.
dc.identifier.urihttps://hdl.handle.net/2144/41235
dc.description.abstractWe study optimal control problems in the multivariate linear-quadratic-Gaussian framework under rational inattention and show that the multivariate attention allocation problem can be reduced to a dynamic tracking problem in information theory. We propose a general solution method to solve this problem by using rate distortion functions and semidefinite programming and derive the optimal form and dimension of signals without strong prior restrictions. We provide generalized reverse water-filling solutions for some special cases. Applying our method to solve three multivariate economic models, we obtain some results qualitatively different from the literature.en_US
dc.format.extent53 pagesen_US
dc.language.isoen_US
dc.subjectRational inattentionen_US
dc.subjectEndogenous information choiceen_US
dc.subjectRate distortion functionen_US
dc.subjectDynamic tracking problemen_US
dc.subjectOptimal controlen_US
dc.titleMultivariate rational inattentionen_US
dc.typeArticleen_US
dc.description.versionFirst author draften_US
pubs.elements-sourcemanual-entryen_US
pubs.notesEmbargo: Not knownen_US
pubs.organisational-groupBoston Universityen_US
pubs.organisational-groupBoston University, College of Arts & Sciencesen_US
pubs.organisational-groupBoston University, College of Arts & Sciences, Department of Economicsen_US
pubs.publication-statusUnpublisheden_US
dc.identifier.mycv422661


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