Symmetric, coherent, Choquet capacities
Joseph B. Kadane, Larry Wasserman
The Annals of Statistics · 1996 · Volume 24 · Issue 3
Abstract
Choquet capacities are a generalization of probability measures that arise in robustness, decision theory and game theory. Many capacities that arise in robustness are symmetric or can be transformed into symmetric capacities. We characterize the extreme points of the set of upper distribution functions corresponding to coherent, symmetric Choquet capacities on [0, 1]. We also show that the set of 2-alternating capacities is a simplex and we give a Choquet representation of this set.
Keywords
2-alternating capacities; 60A05; Bayesian robustness; Choquet capacities; equimeasurability; lower probabilities; majorization;
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