Learning a population distribution

This paper introduces a dynamic Bayesian game with an unknown population distribution. Players do not know the true population distribution and assess it based on their private observations using Bayes׳ rule. First, we show the existence and characterization of an equilibrium in which each player׳s strategy is a function not only of the player׳s type but also of experience. Second, we show that each player׳s initial belief about the population distribution converges almost surely to a “correct” belief.