Utility Based Model Selection and Model Averaging

Utility Based Model Selection and Model Averaging

Probability Seminar
Nov 20, 2019, 03:10 PM - 04:00 PM | 1011 Evans Hall | Happening As Scheduled
Jan Vecer, Charles University in Prague
This talk connects several basic concepts from probability, statistics and economic theory. We study model prediction in the form of a distributional opinion about a random variable X and show how to test this prediction against alternative views. Different model opinions can be traded on a hypothetical market that trades their differences. Using a utility maximization technique, we describe such...