Utility Based Model Selection and Model Averaging

Probability Seminar
Nov 20, 2019 3:10pm to 4:00pm
1011 Evans Hall
Happening As Scheduled
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...
Jan Vecer, Charles University in Prague