Upper and lower probabilities
Upper and lower probabilities are representations of imprecise probability. Whereas probability theory uses a single number, the probability, to describe how likely an event is to occur, this method uses two numbers: the upper probability of the event and the lower probability of the event.
Because frequentist statistics disallows metaprobabilities[dead link], frequentists have had to propose new solutions. Cedric Smith and Arthur Dempster each developed a theory of upper and lower probabilities. Glenn Shafer developed Dempster's theory further, and it is now known as Dempster–Shafer theory: see also Choquet(1953). More precisely, in the work of these authors one considers in a power set, , a mass function satisfying the conditions
In turn, a mass is associated with two non-additive continuous measures called belief and plausibility defined as follows:
In the case where is infinite there can be such that there is no associated mass function. See p. 36 of Halpern (2003). Probability measures are a special case of belief functions in which the mass function assigns positive mass to singletons of the event space only.
A different notion of upper and lower probabilities is obtained by the lower and upper envelopes obtained from a class C of probability distributions by setting
The upper and lower probabilities are also related with probabilistic logic: see Gerla (1994).
- Choquet, G. (1953). "Theory of Capacities". Annales de l'Institut Fourier. 5: 131–295. doi:10.5802/aif.53.
- Gerla, G. (1994). "Inferences in Probability Logic". Artificial Intelligence. 70 (1–2): 33–52. doi:10.1016/0004-3702(94)90102-3.
- Halpern, J. Y. (2003). Reasoning about Uncertainty. MIT Press. ISBN 0-262-08320-5.
- Halpern, J. Y.; Fagin, R. (1992). "Two views of belief: Belief as generalized probability and belief as evidence". Artificial Intelligence. 54 (3): 275–317. doi:10.1016/0004-3702(92)90048-3.
- Huber, P. J. (1980). Robust Statistics. New York: Wiley. ISBN 0-471-41805-6.
- Saffiotti, A. (1992). "A Belief-Function Logic". Procs of the 10h AAAI Conference. San Jose, CA. pp. 642–647. ISBN 0-262-51063-4.
- Shafer, G. (1976). A Mathematical Theory of Evidence. Princeton: Princeton University Press. ISBN 0-691-08175-1.
- Walley, P.; Fine, T. L. (1982). "Towards a frequentist theory of upper and lower probability". Annals of Statistics. 10 (3): 741–761. doi:10.1214/aos/1176345868. JSTOR 2240901.