What Is Imprecision?
Uncertainty is usually modelled by a probability distribution, and treated using techniques from probability theory. Such an uncertainty model will often be inadequate in cases where insufficient information is available to identify a unique probability distribution. In that case, imprecise probabilities aim to represent and manipulate the really available knowledge about the system.
Similar concerns arise when dealing with utility. In making decisions, each reward is assigned a single real number, called utility, and rewards are accordingly ranked. However, in many practical cases, a complete ranking over all rewards is unrealistic. Imprecise utility aims to represent and reason with such incomplete preferences over rewards.
The main benefits of using imprecise probabilities and imprecise utilities, compared to classical statistical methods, are
- more reliable inference
- no pressing need for sensitivity analysis, as this is built into the model itself
- indecision can be explicitly modelled
- effect of modelling assumptions and information on inference is more apparent and credible
- information from different sources can be coherently combined
The term imprecision actually covers a very wide range of extensions of the classical theory of probability. To sum just a few, they include
- lower and upper previsions (Walley, 1991)
- belief functions (Dempster, 1967; Shafer, 1976), theory of hints (Kohlas and Monney, 1995), transferable belief model (Smets, 1992)
- possibility measures (Dubois, 1985, 1988)
- non-additive measures (Denneberg, 1994)
- credal sets and sets of probabilities and utilities (Levi, 1980)
- risk measures (Artzner et al., 1999)
- 2- and n-monotone set functions, Choquet capacities (Choquet, 1953)
- comparative probability orderings (Keynes, 1921; De Finetti, 1931; Fine, 1973; also see overview by Fishburn, 1986)
- robust Bayes methods (Berger, 1984)
- sets of desirable gambles (Walley, 1991)
- p-boxes (Ferson et al., 2003)
- lower and upper envelopes/collectives (Papamarcou and Fine, 1991)
- interval probability (Weichselberger 2000, 2001)
- capacities (Huber, 1965; Huber and Strassen, 1973)
- ambiguity (Ellsberg, 1961)
- logical/fiducial probabilities (Hampel, 1993; Weichselberger, 2005)
- linear partial information (Kofler and Menges, 1976)
- multiple priors (Gilboa, 1989)
- partial identification of probability distributions (Manski, 2003)
Recent Advances in Statistics Using Imprecision
Currently, a popular approach to statistics using imprecision, is by use of Walley's generalised Bayes rule, which is close in nature to the robust Bayesian approach where a set of priors is used, and each prior in the set is updated to produce a set of posteriors. A particularly successful model, be it not without its critics, is the imprecise Dirichlet model, which has been applied for example in game theory, classification, Markov decision processes, aggregation, etc. Other statistical methods with promising potential for application include the bounded derivative model, and nonparametric predictive inference.
In classical statistics, limit theorems play a crucial role. Recently, generalised versions of such theorems have been presented, opening new possibilities from a frequentist perspective.
Imprecise probabilities and utilities also lead the way to generalised decision support methods. For example, generalisations of maximising expected utility lead to interesting research challenges, the solutions to some of which have been presented and addressed. A common theme in all of these generalised methods, is that they focus on realistic reflection of available information and preferences, and as such support informative decisions. This also poses challenges for elicitation and data collection.
Aim Of The Special Issue
With this special issue on imprecision we hope to promote new and recent techniques that employ imprecise methods in a useful way, and advance them to a wider audience. We especially hope to demonstrate the benefits of imprecise models over traditional statistical methods. In particular we are looking for (but not exclusively):
- Applications enhanced by use of imprecision (less information, fewer assumptions).
- Theoretical and methodological developments inspired by practical problems, and illustrating their use in such problems.
- Studies, with examples of practical nature, to emphasise advantages and disadvantages of imprecise methods compared to classical (both frequentist and Bayes) inferential methods, and also to show similarities and differences to robust statistical and nonparametric methods (see above list).
- Decision support using imprecision in probabilities and/or utilities, with applications or illustrations from a practical perspective.
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