Ambiguity and Robust Statistics

Simone Cerreia-Vioglio, Fabio Maccheroni, Massimo Marinacci and Luigi Montrucchio

No 382, Working Papers from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University

Abstract: Starting with the seminal paper of Gilboa and Schmeidler (1989) an analogy between the maxmin approach of Decision Theory under Ambiguity and the minimax approach of Robust Statistics -- e.g. Huber and Strassen (1973) -- has been hinted at. The present paper formally clarifies this relation by showing the conditions under which the two approaches are actually equivalent.

Date: 2011
New Economics Papers: this item is included in nep-ecm and nep-upt
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Journal Article: Ambiguity and robust statistics (2013)
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