Robustness.:
The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Princeton :
Princeton University Press,
2011.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted? Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification i. |
| Beschreibung: | 1 online resource (454 pages) |
| Bibliographie: | Includes bibliographical references (pages 413-425) and indexes. |
| ISBN: | 9781400829385 1400829380 |
Internformat
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| 505 | 0 | |a Cover; ROBUSTNESS; Title; Copyright; Dedication; Contents; Preface; Acknowledgments; Part I: Motivation and main ideas; 1. Introduction; 2. Basic ideas and methods; 3. A stochastic formulation; Part II: Standard control and filtering; 4. Linear control theory; 5. The Kalman filter; Part III: Robust control; 6. Static multiplier and constraint games; 7. Time domain games for attaining robustness; 8. Frequency domain games and criteria for robustness; 9. Calibrating misspecification fears with detection errorprobabilities; 10. A permanent income model; Part IV: Multi-agent problems. | |
| 505 | 8 | |a 11. Competitive equilibria without robustness12. Competitive equilibria with robustness; 13. Asset pricing; 14. Risk sensitivity, model uncertainty, and asset pricing; 15. Markov perfect equilibria with robustness; 16. Robustness in forward-looking models; Part V: Robust estimation and filtering; 17. Robust filtering with commitment; 18. Robust filtering without commitment; Part VI: Extensions; 19. Alternative approaches; References; Index; Author Index; Matlab Index. | |
| 520 | |a The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted? Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification i. | ||
| 588 | 0 | |a Print version record. | |
| 504 | |a Includes bibliographical references (pages 413-425) and indexes. | ||
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| 700 | 1 | |a Sargent, Thomas J., |e author. |0 http://id.loc.gov/authorities/names/n78082475 | |
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| author | Hansen, Lars Peter Sargent, Thomas J. |
| author_GND | http://id.loc.gov/authorities/names/n88626345 http://id.loc.gov/authorities/names/n78082475 |
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| contents | Cover; ROBUSTNESS; Title; Copyright; Dedication; Contents; Preface; Acknowledgments; Part I: Motivation and main ideas; 1. Introduction; 2. Basic ideas and methods; 3. A stochastic formulation; Part II: Standard control and filtering; 4. Linear control theory; 5. The Kalman filter; Part III: Robust control; 6. Static multiplier and constraint games; 7. Time domain games for attaining robustness; 8. Frequency domain games and criteria for robustness; 9. Calibrating misspecification fears with detection errorprobabilities; 10. A permanent income model; Part IV: Multi-agent problems. 11. Competitive equilibria without robustness12. Competitive equilibria with robustness; 13. Asset pricing; 14. Risk sensitivity, model uncertainty, and asset pricing; 15. Markov perfect equilibria with robustness; 16. Robustness in forward-looking models; Part V: Robust estimation and filtering; 17. Robust filtering with commitment; 18. Robust filtering without commitment; Part VI: Extensions; 19. Alternative approaches; References; Index; Author Index; Matlab Index. |
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| id | ZDB-4-EBA-ocn763158166 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-27T13:18:07Z |
| institution | BVB |
| isbn | 9781400829385 1400829380 |
| language | English |
| oclc_num | 763158166 |
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| spelling | Hansen, Lars Peter, author. http://id.loc.gov/authorities/names/n88626345 Robustness. Princeton : Princeton University Press, 2011. 1 online resource (454 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier data file rda Cover; ROBUSTNESS; Title; Copyright; Dedication; Contents; Preface; Acknowledgments; Part I: Motivation and main ideas; 1. Introduction; 2. Basic ideas and methods; 3. A stochastic formulation; Part II: Standard control and filtering; 4. Linear control theory; 5. The Kalman filter; Part III: Robust control; 6. Static multiplier and constraint games; 7. Time domain games for attaining robustness; 8. Frequency domain games and criteria for robustness; 9. Calibrating misspecification fears with detection errorprobabilities; 10. A permanent income model; Part IV: Multi-agent problems. 11. Competitive equilibria without robustness12. Competitive equilibria with robustness; 13. Asset pricing; 14. Risk sensitivity, model uncertainty, and asset pricing; 15. Markov perfect equilibria with robustness; 16. Robustness in forward-looking models; Part V: Robust estimation and filtering; 17. Robust filtering with commitment; 18. Robust filtering without commitment; Part VI: Extensions; 19. Alternative approaches; References; Index; Author Index; Matlab Index. The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted? Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification i. Print version record. Includes bibliographical references (pages 413-425) and indexes. Economics Mathematical models. http://id.loc.gov/authorities/subjects/sh85040857 Macroeconomics Decision making. Macroeconomics. http://id.loc.gov/authorities/subjects/sh85079443 Économie politique Modèles mathématiques. Macroéconomie Prise de décision. Macroéconomie. BUSINESS & ECONOMICS Economics General. bisacsh BUSINESS & ECONOMICS Reference. bisacsh BUSINESS & ECONOMICS Economics Macroeconomics. bisacsh Economics Mathematical models fast Macroeconomics fast Sargent, Thomas J., author. http://id.loc.gov/authorities/names/n78082475 Print version: Hansen, Lars Peter. Robustness. Princeton : Princeton University Press, ©2011 9780691114422 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1083050 Volltext |
| spellingShingle | Hansen, Lars Peter Sargent, Thomas J. Robustness. Cover; ROBUSTNESS; Title; Copyright; Dedication; Contents; Preface; Acknowledgments; Part I: Motivation and main ideas; 1. Introduction; 2. Basic ideas and methods; 3. A stochastic formulation; Part II: Standard control and filtering; 4. Linear control theory; 5. The Kalman filter; Part III: Robust control; 6. Static multiplier and constraint games; 7. Time domain games for attaining robustness; 8. Frequency domain games and criteria for robustness; 9. Calibrating misspecification fears with detection errorprobabilities; 10. A permanent income model; Part IV: Multi-agent problems. 11. Competitive equilibria without robustness12. Competitive equilibria with robustness; 13. Asset pricing; 14. Risk sensitivity, model uncertainty, and asset pricing; 15. Markov perfect equilibria with robustness; 16. Robustness in forward-looking models; Part V: Robust estimation and filtering; 17. Robust filtering with commitment; 18. Robust filtering without commitment; Part VI: Extensions; 19. Alternative approaches; References; Index; Author Index; Matlab Index. Economics Mathematical models. http://id.loc.gov/authorities/subjects/sh85040857 Macroeconomics Decision making. Macroeconomics. http://id.loc.gov/authorities/subjects/sh85079443 Économie politique Modèles mathématiques. Macroéconomie Prise de décision. Macroéconomie. BUSINESS & ECONOMICS Economics General. bisacsh BUSINESS & ECONOMICS Reference. bisacsh BUSINESS & ECONOMICS Economics Macroeconomics. bisacsh Economics Mathematical models fast Macroeconomics fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85040857 http://id.loc.gov/authorities/subjects/sh85079443 |
| title | Robustness. |
| title_auth | Robustness. |
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| title_short | Robustness. |
| title_sort | robustness |
| topic | Economics Mathematical models. http://id.loc.gov/authorities/subjects/sh85040857 Macroeconomics Decision making. Macroeconomics. http://id.loc.gov/authorities/subjects/sh85079443 Économie politique Modèles mathématiques. Macroéconomie Prise de décision. Macroéconomie. BUSINESS & ECONOMICS Economics General. bisacsh BUSINESS & ECONOMICS Reference. bisacsh BUSINESS & ECONOMICS Economics Macroeconomics. bisacsh Economics Mathematical models fast Macroeconomics fast |
| topic_facet | Economics Mathematical models. Macroeconomics Decision making. Macroeconomics. Économie politique Modèles mathématiques. Macroéconomie Prise de décision. Macroéconomie. BUSINESS & ECONOMICS Economics General. BUSINESS & ECONOMICS Reference. BUSINESS & ECONOMICS Economics Macroeconomics. Economics Mathematical models Macroeconomics |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1083050 |
| work_keys_str_mv | AT hansenlarspeter robustness AT sargentthomasj robustness |