Exploring the Accuracy of Joint-Distribution Approximations Given Partial Information

Luis V. Montiel and J. Eric Bickel

The Engineering Economist, 2019, vol. 64, issue 4, 323-345

Abstract: We test the accuracy of various methods for approximating underspecified joint probability distributions. In particular, we examine the maximum entropy and the analytic center approximations, and we introduce three methods for approximating a discrete joint probability distribution given partial probabilistic information. Our results suggest that recently proposed approximations and our new approximations more accurately represent the possible uncertainty models than do previous models such as maximum entropy.

Date: 2019
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DOI: 10.1080/0013791X.2018.1512692

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