Related papers: Dependence uncertainty: a decision-theoretic appro…

This paper examines a heterogeneous beliefs model in which there is a process that is only partially observed by the agents. The economy contains a risky asset producing dividends continuously in time. The dividends are observed by the…

Two families of dependence measures between random variables are introduced. They are based on the R\'enyi divergence of order $\alpha$ and the relative $\alpha$-entropy, respectively, and both dependence measures reduce to Shannon's mutual…

Unaided human decision making appears to systematically violate consistency constraints imposed by normative theories; these biases in turn appear to justify the application of formal decision-analytic models. It is argued that both claims…

The energy distance and energy scores became important tools in multivariate statistics and multivariate probabilistic forecasting in recent years. They are both based on the expected distance of two independent samples. In this paper we…

Much of uncertainty quantification to date has focused on determining the effect of variables modeled probabilistically, and with a known distribution, on some physical or engineering system. We develop methods to obtain information on the…

Likelihood-free approaches are appealing for performing inference on complex dependence models, either because it is not possible to formulate a likelihood function, or its evaluation is very computationally costly. This is the case for…

This paper proposes a model of decision-making under uncertainty in which an agent is constrained in her cognitive ability to consider complex acts. We identify the complexity of an act according to the corresponding partition of state…

Measuring dependence between random variables is a fundamental problem in Statistics, with applications across diverse fields. While classical measures such as Pearson's correlation have been widely used for over a century, they have…

The so-called risk diversification principle is analyzed, showing that its convenience depends on individual characteristics of the risks involved and the dependence relationship among them. ----- Se analiza el principio de…

Our purpose is to model the dependence between two random variables, taking into account a priori knowledge on these variables. For example, in many applications (oceanography, finance...), there exists an order relation between the two…

Model-based reinforcement learning has the potential to be more sample efficient than model-free approaches. However, existing model-based methods are vulnerable to model bias, which leads to poor generalization and asymptotic performance…

Different dependence scenarios can arise in multivariate extremes, entailing careful selection of an appropriate class of models. In bivariate extremes, the variables are either asymptotically dependent or are asymptotically independent.…

A fundamental question in data-driven decision making is how to quantify the uncertainty of predictions in ways that can usefully inform downstream action. This interface between prediction uncertainty and decision-making is especially…

Many online experiments exhibit dependence between users and items. For example, in online advertising, observations that have a user or an ad in common are likely to be associated. Because of this, even in experiments involving millions of…

Many socio-economic systems require positive economic growth rates to function properly. Given uncertainty about future growth rates and increasing evidence that economic growth is a driver of social and environmental crises, these growth…

As artificial agents become increasingly capable, what internal structure is *necessary* for an agent to act competently under uncertainty? Classical results show that optimal control can be *implemented* using belief states or world…

Confirmation bias is a cognitive bias that adversely affects management decisions, and mathematical modelling is an aid to its detailed understanding. Bias in opinion update about the value of a parameter is modelled here assuming that…

In this paper we characterize the niveloidal preferences that satisfy the Weak Order, Monotonicity, Archimedean, and Weak C-Independence Axioms from the point of view of an intra-personal, leader-follower game. We also show that the…

Many regulatory and analytic problems require that a prohibited variable influence a decision only through a designated allowable channel -- a conditional-independence requirement that arises in path-specific fairness, the handling of…

A {\em maximal inequality} seeks to estimate $\mathbb{E}\max_i X_i$ in terms of properties of the $X_i$. When the latter are independent, the union bound (in its various guises) can yield tight upper bounds. If, however, the $X_i$ are…