Practical robust estimators for the imprecise Dirichlet model

DOI10.1016/J.IJAR.2008.03.020MaRDI QIDQ962849zbMATH OpenOpenAlexWikidataFDO

Authors Marcus Hutter

Publication date 7 April 2010

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

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

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)

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.

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Cites work

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• On universal prediction and Bayesian confirmation
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• THE PRECISION OF OBSERVED VALUES OF SMALL FREQUENCIES

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

Describes a project that uses

Uses Software

• BayesDA

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