Uncertainty of discrete stochastic systems: general theory and statistical inference

• Authors: D. Morales;L. Pardo;I. Vajda
• Venue: IEEE Transactions on Systems, Man, and Cybernetics, Part A: Systems and Humans
• Year: 1996

Uncertainty is defined in a new manner, as a function of discrete probability distributions satisfying a simple and intuitively appealing weak monotonicity condition. It is shown that every uncertainty is Schur-concave and conversely, every Schur-concave function of distributions is an uncertainty. General properties of uncertainties are systematically studied. Many characteristics of distributions introduced previously in statistical physics, mathematical statistics, econometrics and information theory are shown to be particular examples of uncertainties. New examples are introduced, and traditional as well as some new methods for obtaining uncertainties are discussed. The information defined by decrease of uncertainty resulting from an observation is investigated and related to previous concepts of information. Further, statistical inference about uncertainties is investigated, based on independent observations of system states. In particular, asymptotic distributions of maximum likelihood estimates of uncertainties and uncertainty-related functions are derived, and asymptotically α-level Neyman-Pearson tests of hypotheses about these system characteristics are presented