The Annals of Statistics

A Class of Utility Functions

D. V. Lindley

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Abstract

In the case of the exponential family of distributions it is well known that the use of a prior distribution belonging to the natural conjugate family substantially simplifies the analysis whilst often being realistic in applications. The present paper explores the related idea of a conjugate family of utilities, and generally the notion of choosing a utility structure that is suitably "matched" to the probability structure and, at the same time, realistic in application.

Article information

Source
Ann. Statist., Volume 4, Number 1 (1976), 1-10.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176343343

Digital Object Identifier
doi:10.1214/aos/1176343343

Mathematical Reviews number (MathSciNet)
MR397938

Zentralblatt MATH identifier
0324.62028

JSTOR
links.jstor.org

Subjects
Primary: 62C05: General considerations

Keywords
Utility functions exponential family conjugate family hyperparameters maximum likelihood

Citation

Lindley, D. V. A Class of Utility Functions. Ann. Statist. 4 (1976), no. 1, 1--10. doi:10.1214/aos/1176343343. https://projecteuclid.org/euclid.aos/1176343343


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