Monotone additive statistics
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arXiv
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| Hauptverfasser: | , , , |
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| Format: | Preprint |
| Veröffentlicht: |
2021
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| _version_ | 1866917740089966592 |
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| author | Mu, Xiaosheng Pomatto, Luciano Strack, Philipp Tamuz, Omer |
| author_facet | Mu, Xiaosheng Pomatto, Luciano Strack, Philipp Tamuz, Omer |
| contents | The expectation is an example of a descriptive statistic that is monotone with respect to stochastic dominance, and additive for sums of independent random variables. We provide a complete characterization of such statistics, and explore a number of applications to models of individual and group decision-making. These include a representation of stationary monotone time preferences, extending the work of Fishburn and Rubinstein (1982) to time lotteries. This extension offers a new perspective on risk attitudes toward time, as well as on the aggregation of multiple discount factors. We also offer a novel class of nonexpected utility preferences over gambles which satisfy invariance to background risk as well as betweenness, but are versatile enough to capture mixed risk attitudes. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2102_00618 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Monotone additive statistics Mu, Xiaosheng Pomatto, Luciano Strack, Philipp Tamuz, Omer Theoretical Economics Probability Statistics Theory The expectation is an example of a descriptive statistic that is monotone with respect to stochastic dominance, and additive for sums of independent random variables. We provide a complete characterization of such statistics, and explore a number of applications to models of individual and group decision-making. These include a representation of stationary monotone time preferences, extending the work of Fishburn and Rubinstein (1982) to time lotteries. This extension offers a new perspective on risk attitudes toward time, as well as on the aggregation of multiple discount factors. We also offer a novel class of nonexpected utility preferences over gambles which satisfy invariance to background risk as well as betweenness, but are versatile enough to capture mixed risk attitudes. |
| title | Monotone additive statistics |
| topic | Theoretical Economics Probability Statistics Theory |
| url | https://arxiv.org/abs/2102.00618 |