Ambiguity and robust statistics

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

Journal of Economic Theory, 2013, vol. 148, issue 3, 974-1049

Abstract: 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.

Keywords: Ambiguity; Consistency; Minimax estimation; Robust statistics; Uncertainty aversion; Variational preferences (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (53)

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Working Paper: Ambiguity and Robust Statistics (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:148:y:2013:i:3:p:974-1049

DOI: 10.1016/j.jet.2012.10.003

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