Weakly consistent extensions of lower previsions
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Abstract: Several consistency notions are available for a lower prevision P assessed on a set D of gambles (bounded random variables), ranging from the well known coherence to convexity and to the recently introduced 2-coherence and 2-convexity. In all these instances, a procedure with remarkable features, called (coherent, convex, 2-coherent or 2-convex) natural extension, is available to extend P, preserving its consistency properties, to an arbitrary superset of gambles. We analyse the 2-coherent and 2-convex natural extensions, E_2 and E_2c respectively, showing that they may coincide with the other extensions in certain, special but rather common, cases of `full' conditional lower prevision or probability assessments. This does generally not happen if P is a(n unconditional) lower probability on the powerset of a given partition and is extended to the gambles defined on the same partition. In this framework we determine alternative formulae for E_2 and E_2c. We also show that E_2c may be nearly vacuous in some sense, while the Choquet integral extension is 2-coherent if P is, and bounds from above the 2-coherent natural extension. Relationships between the finiteness of the various natural extensions and conditions of avoiding sure loss or weaker are also pointed out.
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Cites work
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Cited in
(17)- Bayes theorem bounds for convex lower previsions
- Jensen's and Cantelli's inequalities with imprecise previsions
- Convex imprecise previsions
- Construction method of coherent lower and upper previsions based on collection integrals
- Marginal extension in the theory of coherent lower previsions
- Conglomerable natural extension
- Independent natural extension for infinite spaces
- Extreme lower previsions and Minkowski indecomposability
- Natural extension of choice functions
- A comparison of conditional coherence concepts for finite spaces
- A sandwich theorem for natural extensions
- Extreme lower previsions
- 2-coherent and 2-convex conditional lower previsions
- FUZZY POSSIBILITIES AS UPPER PREVISIONS
- Characterizing coherence, correcting incoherence
- On the problem of computing the conglomerable natural extension
- Inference with nearly-linear uncertainty models
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