IDEAS home Printed from https://ideas.repec.org/a/the/publsh/6439.html

Improving robust decisions with data

Author

Listed:
  • Cheng, Xiaoyu

    (Department of Economics, Florida State University)

Abstract

A decision-maker faces uncertainty governed by a data-generating process (DGP), which is only known to belong to a set of sequences of independent but possibly non-identical distributions. A robust decision maximizes the expected payoff against the worst possible DGP in this set. This paper characterizes when and how such robust decisions can be \emph{objectively} improved with data --- that is, yield higher expected payoffs under the true DGP regardless of which DGP is the truth. It further develops simple and novel inference procedures that achieve such improvement, while common methods (e.g., maximum likelihood) may fail to do so.

Suggested Citation

  • Cheng, Xiaoyu, 0. "Improving robust decisions with data," Theoretical Economics, Econometric Society.
    • Handle: RePEc:the:publsh:6439
    as

    Download full text from publisher

    File URL: http://econtheory.org/ojs/index.php/te/article/viewForthcomingFile/6439/44320/1
    File Function: Working paper version. Paper will be copyedited and typeset before publication.
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:the:publsh:6439. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Editor Theoretical Economics The email address of this maintainer does not seem to be valid anymore. Please ask Editor Theoretical Economics to update the entry or send us the correct address (email available below). General contact details of provider: http://econtheory.org .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.