Minimax regret treatment choice with finite samples
This paper applies the minimax regret criterion to choice between two treatments conditional on observation of a finite sample. The analysis is based on exact small sample regret and does not use asymptotic approximations or finite-sample bounds. Core results are: (i) Minimax regret treatment rules are well approximated by empirical success rules in many cases, but differ from them significantly-both in terms of how the rules look and in terms of maximal regret incurred-for small sample sizes and certain sample designs. (ii) Absent prior cross-covariate restrictions on treatment outcomes, they prescribe inference that is completely separate across covariates, leading to no-data rules as the support of a covariate grows. I conclude by offering an assessment of these results.
Year of publication: |
2009
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Authors: | Stoye, Jörg |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 151.2009, 1, p. 70-81
|
Publisher: |
Elsevier |
Keywords: | Finite sample theory Statistical decision theory Minimax regret Treatment response Treatment choice |
Saved in:
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