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Estimating ambiguity

Marc Henry

Title:
Estimating ambiguity
Author(s):
Henry, Marc
Date:
Type:
Reports
Department(s):
Economics
Persistent URL:
Series:
Department of Economics Discussion Papers
Part Number:
0102-21
Notes:
March 2002
Publisher:
Department of Economics, Columbia University
Publisher Location:
New York
Abstract:
We propose a measure of the degree of ambiguity associated with a belief function and a nonparametric method to estimate it. The degree of ambiguity associated with a belief function is measured by the Kullback-Leibler diameter of the set of probability measures compatible with it. It is shown that an estimator based on the empirical version of the unambiguous measure generating the belief function is consistent for the true value of the ambiguity measure. Applications to policy decision making under Knightian uncertainty are discussed.
Subject(s):
Economics
Item views
174
Metadata:
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Suggested Citation:
Marc Henry, , Estimating ambiguity, Columbia University Academic Commons, .

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