The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Statistical Decision Theory

  • James O. Berger
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_1872

Abstract

Decision-making can be done scientifically. One can assemble the available information in a form directly usable in decision-making, mathematically assess the consequences of decisions, and combine both to reach optimal decisions. This article discusses the basis of such scientific decision-making, explaining the key concepts of utility, prior information, and maximization of expected utility. Statistical decision theory enlarges the framework of decision-making to include ‘choice among statistical procedures’. We introduce and contrast the competing Bayesian and frequentist approaches to statistical decision theory.

Keywords

Bayesian decision theory Decision theory Frequentist decision theory Game theory Invariance principle Minimax optimality Minimax principle Risk Optimality Statistical decision theory Uncertainty Utility Wald A 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • James O. Berger
    • 1
  1. 1.