Practical robust estimators for the imprecise Dirichlet model

DOI10.1016/J.IJAR.2008.03.020zbMATH Open1185.62067arXiv0901.4137OpenAlexW2103058270WikidataQ58012388 ScholiaQ58012388MaRDI QIDQ962849FDOQ962849

Authors: Marcus Hutter 

Publication date: 7 April 2010

Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)

Abstract: Walley's Imprecise Dirichlet Model (IDM) for categorical i.i.d. data extends the classical Dirichlet model to a set of priors. It overcomes several fundamental problems which other approaches to uncertainty suffer from. Yet, to be useful in practice, one needs efficient ways for computing the imprecise=robust sets or intervals. The main objective of this work is to derive exact, conservative, and approximate, robust and credible interval estimates under the IDM for a large class of statistical estimators, including the entropy and mutual information.

Full work available at URL: https://arxiv.org/abs/0901.4137

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zbMATH Keywords

robustentropymutual informationimprecise Dirichlet modelconservativeapproximateexactcredible interval estimates

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Nonparametric estimation (62G05) Nonparametric robustness (62G35) Nonparametric inference (62G99)

Cites Work

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• An invariant form for the prior probability in estimation problems
• On universal prediction and Bayesian confirmation
• THE PRECISION OF OBSERVED VALUES OF SMALL FREQUENCIES
• Robust inference of trees
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Cited In (6)

• Restricting the IDM for classification
• Applying the imprecise Dirichlet model in cases with partial observations and dependencies in failure data
• A minimum distance estimator in an imprecise probability model -- computational aspects and applications
• An introduction to the imprecise Dirichlet model for multinomial data
• Minimum distance estimation in imprecise probability models
• Uncertainty measures on probability intervals from the imprecise Dirichlet model

Uses Software

• BayesDA

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