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Risk, ambiguity, and misspecification : decision theory, robust control, and statistics

Hansen, Lars Peter; Sargent, Thomas J. - In: Journal of applied econometrics 39 (2024) 6, pp. 969-999

Persistent link: https://www.econbiz.de/10015156812

Near-optimal Bayesian ambiguity sets for distributionally robust optimization

Gupta, Vishal - In: Management science : journal of the Institute for … 65 (2019) 9, pp. 4242-4260

Persistent link: https://www.econbiz.de/10012118557

Robust Bayesian analysis for econometrics

Giacomini, Raffaella; Kitagawa, Toru; Read, Matthew - 2021 - This draft: 23 Aug 2021

We review the literature on robust Bayesian analysis as a tool for global sensitivity analysis and for statistical decision-making under ambiguity. We discuss the methods proposed in the literature, including the different ways of constructing the set of priors that are the key input of the...

Persistent link: https://www.econbiz.de/10012607980

Robust Bayesian analysis for econometrics

Giacomini, Raffaella; Kitagawa, Toru; Read, Matthew - 2021

Persistent link: https://www.econbiz.de/10012609647

Exact credibility reference Bayesian premiums

Gómez-Déniz, Emilio; Vázquez-Polo, Francisco José - In: Insurance / Mathematics & economics 105 (2022), pp. 128-143

Persistent link: https://www.econbiz.de/10013348977

Bayesian general equilibrium

Akira Toda, Alexis - In: Economic theory : official journal of the Society for … 58 (2015) 2, pp. 375-411

Persistent link: https://www.econbiz.de/10011376158

"Data monkeys" : a procedural model of extrapolation from partial statistics

Spiegler, Ran - In: The review of economic studies 84 (2017) 4, pp. 1818-1841

Persistent link: https://www.econbiz.de/10011920094

Bayesian inference and the principle of maximum entropy

Foley, Duncan K.; Scharfenaker, Ellis - 2024

posterior probabilities is simplified due to the concentration of the prior on the maximum entropy hypothesis. The relationship … between maximum entropy reasoning and Bayes' theorem from this point of view is that maximum entropy reasoning is a special … case of Bayesian inference with a constrained entropy-favoring prior. …

Persistent link: https://www.econbiz.de/10015070700

Empirische Validierung von Kapitalmarktmodellen : Untersuchungen zum CAPM und zur APT für den deutschen Aktienmarkt

Ulschmid, Christoph - 1994

Persistent link: https://www.econbiz.de/10012700213

Uncertainty, information, and disagreement of economic forecasters

Shoja, Mehdi; Soofi, Ehsan S. - In: Econometric reviews 36 (2017) 6/9, pp. 796-817

Persistent link: https://www.econbiz.de/10011795499