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.
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