How does Info-Gap decision theory distinguish between different levels of uncertainty?
Answer-61: It does not. As brought out by the discussion in FAQ-13 through FAQ-17, the “localness” of Info-Gap’s robustness analysis is due to the analysis focusing entirely on a point estimate û of the true value of the parameter of interest and its immediate neighborhood. But this single minded concentration on the estimate and its immediate neighborhood in effect entails that the analysis does not discriminate between levels (severity) of the uncertainty. The same analysis is applied ad infinitum regardless of the uncertainty growing or diminishing, intensifying or lessening. This is illustrated in the picture below where complete regions of uncertainty (U’, U”, U”’) of various sizes are shown, all centered at the same estimate û.
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- How does Info-Gap decision theory distinguish between different levels of uncertainty?
