Statistical decision functions with judgment

• 成果类型: Article
• 署名作者: Manganelli, Simone
• 署名单位: European Central Bank
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2024.105940
• 发表日期: 2025
• 关键词: Statistical decision theory; Hypothesis Testing; confidence intervals; ambiguity

摘要

A decision maker tests whether the gradient of the loss function evaluated at a judgmental decision is zero, for a given level of significance. If the test does not reject, the decision maker selects the judgmental decision. If the test rejects, the decision maker chooses the action whose gradient is at the boundary of the rejection region. The test is admissible and asymptotically most powerful. The level of significance reflects the decision maker's attitude toward uncertainty. The decision rule is applied to a problem of asset allocation.