What is Info-Gaps uncertainty model?
Info-Gap’s Uncertainty Model • The uncertainty space, U, represents the set containing the true (unknown) value of the parameter of interest. In the picture this set is represented by the large circle. This set is allowed to be unbounded. • The estimate, û, of the true value of the parameter of interest. This is the point represented by the black dot in the picture. • A family of nested subsets of U, representing nested regions of uncertainty around the estimate. Here U(α,û) represents a region of uncertainty of “size” α centered at û. It is assumed that U(0,û)={û} and that U(α,û) is non-decreasing with α, namely U(α,û) is a subset of U(α+ε,û) for all positive values of α and ε. In the picture the regions of uncertainty are circles and the “size” of a region is the radius of the circle representing the region. Remarks: • The complete region of uncertainty, namely the uncertainty space U, can be viewed as the limit of the region U(α,û) as its size α goes to infinity. Formally, it can be
