Journal article
Data-driven nonlinear expectations for statistical uncertainty in decisions
- Abstract:
- 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.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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(Preview, Version of record, pdf, 352.2KB, Terms of use)
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- Publisher copy:
- 10.1214/17-EJS1278
Authors
- Publisher:
- Institute of Mathematical Statistics
- Journal:
- Electronic Journal of Statistics More from this journal
- Volume:
- 11
- Issue:
- 1
- Pages:
- 1858-1889
- Publication date:
- 2017-04-28
- Acceptance date:
- 2017-04-18
- DOI:
- ISSN:
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1935-7524
- Keywords:
- Pubs id:
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pubs:690103
- UUID:
-
uuid:6a01a5ba-1882-4a49-b0d1-f870c2b4a2e4
- Local pid:
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pubs:690103
- Source identifiers:
-
690103
- Deposit date:
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2017-04-19
- ARK identifier:
Terms of use
- Copyright holder:
- Cohen, S
- Copyright date:
- 2017
- Notes:
- Under a Creative Commons BY 4.0 licence.
- Licence:
- CC Attribution (CC BY)
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