Ambiguity and robust statistics

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.

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Year of publication:	2013
Authors:	Cerreia-Vioglio, Simone ; Maccheroni, Fabio ; Marinacci, Massimo ; Montrucchio, Luigi
Published in:	Journal of Economic Theory. - Elsevier, ISSN 0022-0531. - Vol. 148.2013, 3, p. 974-1049
Publisher:	Elsevier
Subject:	Ambiguity \| Consistency \| Minimax estimation \| Robust statistics \| Uncertainty aversion \| Variational preferences

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Type of publication:	Article
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

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