Ambiguity and robust statistics

• 成果类型: Article
• 署名作者: Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, Massimo; Montrucchio, Luigi
• 署名单位: Bocconi University; Collegio Carlo Alberto; University of Turin
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2012.10.003
• 发表日期: 2013
• 页码: 974-1049
• 关键词: Ambiguity; Consistency; Minimax Estimation; Robust Statistics; Uncertainty aversion; Variational preferences

摘要

Starting with the seminal paper of Gilboa and Schmeidler (1989) [32] an analogy between the maxmin approach of decision theory under ambiguity and the minimax approach of robust statistics - e.g., Blum and Rosenblatt (1967) [10] has been hinted at. The present paper formally clarifies this relation by showing the conditions under which the two approaches are actually equivalent. (C) 2013 Published by Elsevier Inc.