Starting with the seminal paper of Gilboa and Schmeidler (1989) an analogy between the maxmin approach of decision theory under Ambiguity and the minimax approach of Robust Statistics e.g., Blum and Rosenblatt (1967) has been hinted at. The present paper formally clari fies this relation by showing the conditions under which the two approaches are actually equivalent.
Ambiguity and robust statistics
Cerreia-Vioglio, Simone;Maccheroni, Fabio;Marinacci, Massimo;Montrucchio, Luigi
2013
Abstract
Starting with the seminal paper of Gilboa and Schmeidler (1989) an analogy between the maxmin approach of decision theory under Ambiguity and the minimax approach of Robust Statistics e.g., Blum and Rosenblatt (1967) has been hinted at. The present paper formally clari fies this relation by showing the conditions under which the two approaches are actually equivalent.
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