Department of Statistics Unitmark
Dietrich College of Humanities and Social Sciences

Symmetric, Coherent, Choquet Capacities

Publication Date

April, 1995

Publication Type

Tech Report

Author(s)

Joseph B. Kadane and Larry Wasserman

Abstract

Choquet capacities are a generalization of probability measures that arise in robustness, decision theory and game theory. Many capacities that arise in robustness are symmetric or can be transformed into symmetric capacities. We characterize the extreme points of the set of upper distribution functions corresponding to coherent, symmetric Choquet capacities on [0,1]. We also show that the set of 2-alternating capacities is a simplex and we give a Choquet representation of this set.