Xiaoyu Cheng
arXiv 25 Oct 2023 · Theoretical Economics
arXiv:2310.16281 · PDF · Extracted main text
A decision-maker faces uncertainty governed by a data-generating process (DGP), which is only known to belong to a set of sequences of independent but possibly non-identical distributions. A robust decision maximizes the expected payoff against the worst possible DGP in this set. This paper characterizes when and how such robust decisions can be improved with data, measured by the expected payoff under the true DGP, no matter which possible DGP is the truth. It further develops novel and simple inference methods to achieve it, as common methods (e.g., maximum likelihood) may fail to deliver such an improvement.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Epstein and Schneider (2007) Learning under Ambiguity | 0.811 | 4 | 2 | 100% |
| 2 | Reshidi, Thereze and Zhang (2025) Asymptotic Learning with Ambiguous Information | 0.811 | 4 | 2 | 100% |
| 3 | Cheng (2022) Relative Maximum Likelihood updating of ambiguous beliefs self | 0.737 | 3 | 2 | 100% |
| 4 | Athey and Levin (2018) The value of information in monotone decision problems | 0.644 | 2 | 2 | 100% |
| 5 | Epstein, Kaido and Seo (2016) Robust Confidence Regions for Incomplete Models | 0.644 | 2 | 2 | 100% |
| 6 | Wang (1993) On the number of success in independent trials | 0.511 | 2 | 1 | 100% |
| 7 | Blum and Rosenblatt (1967) On Partial a Priori Information in Statistical Inference | 0.405 | 1 | 1 | 100% |
| 8 | Brown, Cai and DasGupta (2001) Interval Estimation for a Binomial Proportion | 0.405 | 1 | 1 | 100% |
| 9 | Cao (2014) Non-IIDness Learning in Behavioral and Social Data | 0.405 | 1 | 1 | 100% |
| 10 | Carroll (2015) Robustness and Linear Contracts | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 51 scored citations.