Computing the joint range of a set of expectations

Charles J. Geyer, Radu C. Lazar, Glen D. Meeden

Research output: Contribution to conferencePaperpeer-review

Abstract

In the theory of imprecise probability it is often of interest to find the range of the expectation of some function over a convex family of probability measures. Here we show how to find the joint range of the expectations of a finite set of functions when the underlying space is finite and the family of probability distributions is defined by finitely many linear constraints.

Original languageEnglish (US)
StatePublished - 2005
Event4th International Symposium on Imprecise Probabilities and Their Applications, ISIPTA 2005 - Pittsburgh, United States
Duration: Jul 20 2005Jul 23 2005

Conference

Conference4th International Symposium on Imprecise Probabilities and Their Applications, ISIPTA 2005
Country/TerritoryUnited States
CityPittsburgh
Period7/20/057/23/05

Bibliographical note

Funding Information:
Glen Meeden is a Professor in the School of Statistics at the University of Minnesota, 313 Ford Hall, 224 Church St SE, Minneapolis, MN 55455-0493, USA. E-mail: glen@stat.umn.edu. His research was supported in part by NSF grant DMS-0406169.

Publisher Copyright:
© 2005 Society for Imprecise Probability: Theories and Applications, SIPTA. All rights reserved.

Keywords

  • Convex family of priors
  • Linear constraints
  • Polytope
  • Probability assessment

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