Starting with a seminal paper of Gilboa and Schmeidler, an analogy between the maxmin approach of decision theory under Ambiguity and the minimax approach of Robust Statistics, has been hinted at. The present paper formally clarifies this relation by showing the conditions under which the two approaches are actually equivalent.

Ambiguity and robust statistics

MARINACCI, Massimo;MONTRUCCHIO, Luigi
2013-01-01

Abstract

Starting with a seminal paper of Gilboa and Schmeidler, an analogy between the maxmin approach of decision theory under Ambiguity and the minimax approach of Robust Statistics, has been hinted at. The present paper formally clarifies this relation by showing the conditions under which the two approaches are actually equivalent.
2013
148
974
1049
Decisioni
S. Cerreia-Vioglio; F. Maccheroni; M. Marinacci; L. Montrucchio
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2318/139885
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