TY - JOUR
T1 - Data-based prediction under uncertainty
T2 - CDF-quantile distributions and info-gap robustness
AU - Ben-Haim, Yakov
AU - Smithson, Michael
N1 - Publisher Copyright:
© 2018 Elsevier Inc.
PY - 2018/12
Y1 - 2018/12
N2 - Data underlie understanding of processes and prediction of the future. However, things change; data from one population at one time may have uncertain relevance for modeling or prediction in another population or at another time. Data-based prediction in a changing world requires two complementary capabilities: versatile modeling, integrated with management of uncertainty. We develop a response to this challenge. We focus on statistical models of bounded random variables, associated with additional non-probabilistic uncertainties. We employ CDF-quantile distributions to model the probabilistic aspects of these phenomena. Non-probabilistic uncertainties in parameter values and in the shapes of probability distributions are modeled and managed with the method of robust satisficing from info-gap theory. The robustness to uncertainty is evaluated for alternative estimators. We show that putatively optimal estimators may be less robust than sub-optimal estimators, suggesting preference for a sub-optimal estimator in some circumstances. These two attributes –statistical accuracy and info-gap robustness –trade off against one another. The info-gap robustness function quantifies this trade off. Generic propositions specify the robustness functions and their trade offs, and characterize a class of situations in which preference for sub-optimal estimators can occur. Three examples are discussed.
AB - Data underlie understanding of processes and prediction of the future. However, things change; data from one population at one time may have uncertain relevance for modeling or prediction in another population or at another time. Data-based prediction in a changing world requires two complementary capabilities: versatile modeling, integrated with management of uncertainty. We develop a response to this challenge. We focus on statistical models of bounded random variables, associated with additional non-probabilistic uncertainties. We employ CDF-quantile distributions to model the probabilistic aspects of these phenomena. Non-probabilistic uncertainties in parameter values and in the shapes of probability distributions are modeled and managed with the method of robust satisficing from info-gap theory. The robustness to uncertainty is evaluated for alternative estimators. We show that putatively optimal estimators may be less robust than sub-optimal estimators, suggesting preference for a sub-optimal estimator in some circumstances. These two attributes –statistical accuracy and info-gap robustness –trade off against one another. The info-gap robustness function quantifies this trade off. Generic propositions specify the robustness functions and their trade offs, and characterize a class of situations in which preference for sub-optimal estimators can occur. Three examples are discussed.
KW - CDF-quantile distributions
KW - Data-based modeling
KW - Info-gap theory
KW - Non-probabilistic uncertainty
KW - Probabilistic prediction
KW - Robustness
UR - http://www.scopus.com/inward/record.url?scp=85053772834&partnerID=8YFLogxK
U2 - 10.1016/j.jmp.2018.08.006
DO - 10.1016/j.jmp.2018.08.006
M3 - Article
SN - 0022-2496
VL - 87
SP - 11
EP - 30
JO - Journal of Mathematical Psychology
JF - Journal of Mathematical Psychology
ER -