The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Minimax Regret

  • Jörg Stoye
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2965

Abstract

Minimax regret (Savage, Journal of the American Statistical Association 46, 55–67, 1951) is the principle of optimizing worst-case loss relative to some measure of unavoidable risk. In statistical decision theory, it provides a non-Bayesian alternative to minimax. It differs from minimax by fulfilling von Neumann–Morgenstern independence but exhibiting menu dependence. Minimax regret has seen occasional use in statistics, and implausible implications of minimax in certain economic problems recently led to its reconsideration by economists.

Keywords

Decision theory Econometrics Estimation Maxmin Minimax Minimax regret Model uncertainty 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Jörg Stoye
    • 1
  1. 1.