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July, 1974 A Rational Decision Criterion, the Iterated Minimax Regret Criterion
Earl Nordbrock
Ann. Statist. 2(4): 775-786 (July, 1974). DOI: 10.1214/aos/1176342764

Abstract

We feel that a criterion for selecting optimal decision rules in a statistical decision problem should be selected rationally. Specifically, we would like a criterion to satisfy eight properties which we have given. It is known that none of the commonly used criteria satisfy these eight properties. We give sufficient conditions on the decision problem so that the iterated minimax regret criterion does satisfy all eight properties, and give examples to show that these sufficient conditions cannot be removed.

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Earl Nordbrock. "A Rational Decision Criterion, the Iterated Minimax Regret Criterion." Ann. Statist. 2 (4) 775 - 786, July, 1974. https://doi.org/10.1214/aos/1176342764

Information

Published: July, 1974
First available in Project Euclid: 12 April 2007

zbMATH: 0301.62006
MathSciNet: MR375550
Digital Object Identifier: 10.1214/aos/1176342764

Subjects:
Primary: 62C05
Secondary: 90D35

Rights: Copyright © 1974 Institute of Mathematical Statistics

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Vol.2 • No. 4 • July, 1974
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