Statistics and Data Science Seminar: Risk, Ambiguity, and Misspecification: Decision Theory, Robust Control, and Statistics
Co-sponsored by Center for Dynamic Economics, Transdisciplinary Institute in Applied Data Sciences, and The Weidenbaum Center
Abstract: What are "deep uncertainties" and how should their presence influence prudent decisions? To address these questions, we bring ideas from robust control theory into statistical decision theory. Decision theory has its origins in axiomatic formulations by von Neumann and Morgenstern, Wald, and Savage. After Savage, decision theorists constructed axioms that formalize a notion of ambiguity aversion. Meanwhile, control theorists constructed decision rules that are robust to some model misspecifications. This research reinterprets axiomatic foundations of decision theories to express ambiguity about a prior over a family of models along with concerns about misspecifications of the corresponding likelihood functions. The talk will explore applications to the design of prudent policies for confronting climate change in the presence of pervasive uncertainty.
Bio: Lars Peter Hansen is the David Rockefeller Distinguished Service Professor and the Director of BFI’s Macro Finance Research (MFR) Program at the University of Chicago. He is the leading expert in economic dynamics who works at the forefront of economic thinking and modeling, drawing approaches from macroeconomics, finance, and statistics. He is the developer of the generalized method of moments (GMM), a widely used technique in econometrics and statistics. Hansen has made fundamental advances in our understanding of how economic agents cope with changing and risky environments. He is the recipient of the 2013 Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel, also known by Nobel Memorial Prize in Economic Sciences.
Host: Xuming He
After the talk, there will be a reception.
Please click the following link to RSVP to this event: https://triads.wustl.edu/lars-peter-hansen-rsvp
This event will be available on Zoom with the following information:
Topic: Lars Peter Hansen Talk
Time: Oct 17, 2023 12:00 PM Central Time (US and Canada)
Join Zoom Meeting