Data-driven nonlinear expectations for statistical uncertainty in decisions

被引：6

作者：

Cohen, Samuel N. ^{[1
]}

机构：

[1] Math Inst, Woodstock Rd, Oxford, England

来源：

ELECTRONIC JOURNAL OF STATISTICS | 2017年 / 11卷 / 01期

关键词：

Statistical uncertainty; robustness; nonlinear expectation; RISK MEASURES; HYPOTHESES;

D O I：

10.1214/17-EJS1278

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In stochastic decision problems, one often wants to estimate the underlying probability measure statistically, and then to use this estimate as a basis for decisions. We shall consider how the uncertainty in this estimation can be explicitly and consistently incorporated in the valuation of decisions, using the theory of nonlinear expectations.

引用

页码：1858 / 1889

页数：32

共 22 条

[1] BEHAVIOR OF THE RATIONAL MAN BEFORE RISK - CRITICISM OF AMERICAN SCHOOL POSTULATES AND AXIOMS [J].