Nonparametric predictive utility inference

B. Houlding and F.P.A. Coolen

European Journal of Operational Research, 2012, vol. 221, issue 1, 222-230

Abstract: We consider the natural combination of two strands of recent statistical research, i.e., that of decision making with uncertain utility and that of Nonparametric Predictive Inference (NPI). In doing so we present the idea of Nonparametric Predictive Utility Inference (NPUI), which is suggested as a possible strategy for the problem of utility induction in cases of extremely vague prior information. An example of the use of NPUI within a motivating sequential decision problem is also considered for two extreme selection criteria, i.e., a rule that is based on an attitude of extreme pessimism and a rule that is based on an attitude of extreme optimism.

Keywords: Decision analysis; Nonparametrics; Predictive inference; Exchangeability; Uncertain utility (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:221:y:2012:i:1:p:222-230

DOI: 10.1016/j.ejor.2012.03.024

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