Set Coverage and Robust Policy
We show that conÂ¯dence regions covering the identified set may be preferable to conÂ¯dence regions covering each of its points in robust control applications.
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- Evan W. Anderson & Lars Peter Hansen & Thomas J. Sargent, 2003. "A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection," Journal of the European Economic Association, MIT Press, vol. 1(1), pages 68-123, 03.
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