Fri, 21 Oct 2016

13:00 - 14:00
L6

Data driven nonlinear expectations for statistical robustness

Sam Cohen
(Mathematical Institute)
Abstract

In practice, stochastic decision problems are often based on statistical estimates of probabilities. We all know that statistical error may be significant, but it is often not so clear how to incorporate it into our decision making. In this informal talk, we will look at one approach to this problem, based on the theory of nonlinear expectations. We will consider the large-sample theory of these estimators, and also connections to `robust statistics' in the sense of Huber.

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