14,004 research outputs found
Towards Machine Wald
The past century has seen a steady increase in the need of estimating and
predicting complex systems and making (possibly critical) decisions with
limited information. Although computers have made possible the numerical
evaluation of sophisticated statistical models, these models are still designed
\emph{by humans} because there is currently no known recipe or algorithm for
dividing the design of a statistical model into a sequence of arithmetic
operations. Indeed enabling computers to \emph{think} as \emph{humans} have the
ability to do when faced with uncertainty is challenging in several major ways:
(1) Finding optimal statistical models remains to be formulated as a well posed
problem when information on the system of interest is incomplete and comes in
the form of a complex combination of sample data, partial knowledge of
constitutive relations and a limited description of the distribution of input
random variables. (2) The space of admissible scenarios along with the space of
relevant information, assumptions, and/or beliefs, tend to be infinite
dimensional, whereas calculus on a computer is necessarily discrete and finite.
With this purpose, this paper explores the foundations of a rigorous framework
for the scientific computation of optimal statistical estimators/models and
reviews their connections with Decision Theory, Machine Learning, Bayesian
Inference, Stochastic Optimization, Robust Optimization, Optimal Uncertainty
Quantification and Information Based Complexity.Comment: 37 page
Counterfactual Sensitivity and Robustness
Researchers frequently make parametric assumptions about the distribution of
unobservables when formulating structural models. Such assumptions are
typically motived by computational convenience rather than economic theory and
are often untestable. Counterfactuals can be particularly sensitive to such
assumptions, threatening the credibility of structural modeling exercises. To
address this issue, we leverage insights from the literature on ambiguity and
model uncertainty to propose a tractable econometric framework for
characterizing the sensitivity of counterfactuals with respect to a
researcher's assumptions about the distribution of unobservables in a class of
structural models. In particular, we show how to construct the smallest and
largest values of the counterfactual as the distribution of unobservables spans
nonparametric neighborhoods of the researcher's assumed specification while
other `structural' features of the model, e.g. equilibrium conditions, are
maintained. Our methods are computationally simple to implement, with the
nuisance distribution effectively profiled out via a low-dimensional convex
program. Our procedure delivers sharp bounds for the identified set of
counterfactuals (i.e. without parametric assumptions about the distribution of
unobservables) as the neighborhoods become large. Over small neighborhoods, we
relate our procedure to a measure of local sensitivity which is further
characterized using an influence function representation. We provide a suitable
sampling theory for plug-in estimators and apply our procedure to models of
strategic interaction and dynamic discrete choice
- …