Utility-Based Learning from Data

ISBN-13: 9780367452322 / Angielski / Miękka / 2019 / 417 str.

Craig Friedman; Sven Sandow

Opis

This book provides a pedagogical, self-contained discussion of probability estimation methods via a coherent approach from the viewpoint of a decision maker who acts in an uncertain environment. This approach is motivated by the idea that probabilistic models are usually not learned for their own sake; rather, they are used to make decisions. By

Spis treści

Introduction. Mathematical Preliminaries. The Horse Race. Elements of Utility Theory. The Horse Race and Utility. Select Methods for Measuring Model Performance. A Utility-Based Approach to Information Theory. Utility-Based Model Performance Measurement. Select Methods for Estimating Probabilistic Models. A Utility-Based Approach to Probability Estimation. Extensions. Select Applications. References. Index.

O autorze

Craig Friedman is a managing director and head of research in the Quantitative Analytics group at Standard & Poor’s in New York. Dr. Friedman is also a fellow of New York University’s Courant Institute of Mathematical Sciences. He is an associate editor of both the International Journal of Theoretical and Applied Finance and the Journal of Credit Risk.

Sven Sandow is an executive director in risk management at Morgan Stanley in New York. Dr. Sandow is also a fellow of New York University’s Courant Institute of Mathematical Sciences. He holds a Ph.D. in physics and has published articles in scientific journals on various topics in physics, finance, statistics, and machine learning.

The contents of this book are Dr. Sandow’s opinions and do not represent Morgan Stanley.