Statistical Decision Theory
Decision theory is the science of making optimal decisions in the face of uncertainty. Statistical decision theory is concerned with the making of decisions when in the presence of statistical knowledge (data) which sheds light on some of the uncertainties involved in the decision problem. The generality of these definitions is such that decision theory (dropping the qualifier ‘statistical’ for convenience) formally encompasses an enormous range of problems and disciplines. Any attempt at a general review of decision theory is thus doomed; all that can be done is to present a description of some of the underlying ideas.
KeywordsUtility Function Decision Rule Decision Problem Prior Information Decision Theory
Unable to display preview. Download preview PDF.
- Blackwell, D. and Girshick, M.A. 1954. Theory of Games and Statistical Decisions. New York: Wiley.Google Scholar
- De Groot, M.H. 1970. Optimal Statistical Decisions. New York: McGraw-Hill.Google Scholar
- Ferguson, T.S. 1967. Mathematical Statistics: A Decision Theoretic Approach. New York: Academic Press.Google Scholar
- Neyman, J. and Pearson, E.S. 1933. On the problem of the most efficient tests of statistical hypotheses. Philosophical Transactions of the Royal Society, London, 231–289–337.Google Scholar
- Raiffa, H. 1968. Decision Analysis: Introductory Lectures on Choices under Uncertainty. Reading, Mass.: Addison-Wesley.Google Scholar
- Raiffa, H. and Schlaifer, R. 1961. Applied Statistical Decision Theory. Boston: Division of Research, Graduate School of Business Administration, Harvard University.Google Scholar
- Ramsey, F.P. 1931. Truth and probability. In The Foundations of Mathematics and Other Logical Essays, London: Kegan, Paul, Trench and Trubner.Google Scholar
- Reprinted in Studies in Subjective Probability, ed. H. Kyburg and H. Smokier, New York: Wiley, 1964, 61–92.Google Scholar
- Savage, L.J. 1954. The Foundations of Statistics. New York: Wiley.Google Scholar
- Wald, A. 1950. Statistical Decision Functions. New York: Wiley.Google Scholar
- Winkler, R.L. 1972. An Introduction to Bayesian Inference and Decision. New York: Holt, Rinehart & Winston.Google Scholar