Stable Decision Problems
Kadane, Joseph B. ; Chuang, David T.
Ann. Statist., Tome 6 (1978) no. 1, p. 1095-1110 / Harvested from Project Euclid
A decision problem is characterized by a loss function $V$ and opinion $H$. The pair $(V, H)$ is said to be strongly stable iff for every sequence $F_n \rightarrow_\omega H, G_n \rightarrow_\omega H$ and $L_n\rightarrow V, W_n\rightarrow V$ uniformly, $\lim_{\varepsilon \downarrow 0} \lim \sup_{n\rightarrow \infty} \lbrack \int L_n(\theta, D_n(\varepsilon)) dF_n(\theta) - \inf_D \int L_n(\theta, D) dF_n(\theta)\rbrack = 0$ for every sequence $D_n(\varepsilon)$ satisfying $\int W_n(\theta, D_n(\varepsilon)) dG_n(\theta) \leqq \inf_D \int W_n(\theta, D) dG_n(\theta) + \varepsilon.$ We show that squared error loss is unstable with any opinion if the parameter space is the real line and that any bounded loss function $V(\theta, D)$ that is continuous in $\theta$ uniformly in $D$ is stable with any opinion $H$. Finally we examine the estimation or prediction case $V(\theta, D) = h(\theta - D)$, where $h$ is continuous, nondecreasing in $(0, \infty)$ and nonincreasing in $(-\infty, 0)$ and has bounded growth. While these conditions are not enough to assure strong stability, various conditions are given that are sufficient. We believe that stability offers the beginning of a Bayesian theory of robustness.
Publié le : 1978-09-14
Classification:  Decision theory,  robustness,  stable estimation,  stable decisions,  62C10,  62G35
@article{1176344313,
     author = {Kadane, Joseph B. and Chuang, David T.},
     title = {Stable Decision Problems},
     journal = {Ann. Statist.},
     volume = {6},
     number = {1},
     year = {1978},
     pages = { 1095-1110},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176344313}
}
Kadane, Joseph B.; Chuang, David T. Stable Decision Problems. Ann. Statist., Tome 6 (1978) no. 1, pp.  1095-1110. http://gdmltest.u-ga.fr/item/1176344313/