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Statistical Roles Of The G-Expectation Framework In Model Uncertainty: The Semi-G-Structure As A Stepping Stone, Yifan Li
Electronic Thesis and Dissertation Repository
The G-expectation framework is a generalization of the classical probability system based on the sublinear expectation to deal with phenomena that cannot be described by a single probabilistic model. These phenomena are closely related to the long-existing concern about model uncertainty in statistics. However, the distributions and independence in the G-framework are quite different from the classical setup. These distinctions bring difficulty when applying the idea of this framework to general statistical practice. Therefore, a fundamental and unavoidable problem is how to better understand G-version concepts from a statistical perspective.
To explore this problem, this thesis establishes a new substructure …