A Study of the Pari-Mutuel Model from the Point of View of Imprecise Probabilities

Ignacio Montes, Enrique Miranda, Sébastien Destercke
Proceedings of the Tenth International Symposium on Imprecise Probability: Theories and Applications, PMLR 62:229-240, 2017.

Abstract

The Pari-Mutuel model is a distortion model that has its origin in horse racing. Since then, it has been applied in many different fields, such as finance or risk analysis. In this paper we investigate the properties of the Pari-Mutuel model within the framework of Imprecise Probabilities. Since a Pari-Mutuel model induces (2-monotone) coherent lower and upper probabilities, we investigate its connections with other relevant models within this theory, such as probability intervals and belief functions. We also determine the number of extreme points of the credal set induced by the Pari-Mutuel model and study how to combine the information given by multiple Pari-Mutuel models.

Cite this Paper

BibTeX
@InProceedings{pmlr-v62-montes17a, title = {A Study of the Pari-Mutuel Model from the Point of View of Imprecise Probabilities}, author = {Montes, Ignacio and Miranda, Enrique and Destercke, Sébastien}, booktitle = {Proceedings of the Tenth International Symposium on Imprecise Probability: Theories and Applications}, pages = {229--240}, year = {2017}, editor = {Antonucci, Alessandro and Corani, Giorgio and Couso, Inés and Destercke, Sébastien}, volume = {62}, series = {Proceedings of Machine Learning Research}, month = {10--14 Jul}, publisher = {PMLR}, pdf = {http://proceedings.mlr.press/v62/montes17a/montes17a.pdf}, url = {https://proceedings.mlr.press/v62/montes17a.html}, abstract = {The Pari-Mutuel model is a distortion model that has its origin in horse racing. Since then, it has been applied in many different fields, such as finance or risk analysis. In this paper we investigate the properties of the Pari-Mutuel model within the framework of Imprecise Probabilities. Since a Pari-Mutuel model induces (2-monotone) coherent lower and upper probabilities, we investigate its connections with other relevant models within this theory, such as probability intervals and belief functions. We also determine the number of extreme points of the credal set induced by the Pari-Mutuel model and study how to combine the information given by multiple Pari-Mutuel models.} }
Endnote
%0 Conference Paper %T A Study of the Pari-Mutuel Model from the Point of View of Imprecise Probabilities %A Ignacio Montes %A Enrique Miranda %A Sébastien Destercke %B Proceedings of the Tenth International Symposium on Imprecise Probability: Theories and Applications %C Proceedings of Machine Learning Research %D 2017 %E Alessandro Antonucci %E Giorgio Corani %E Inés Couso %E Sébastien Destercke %F pmlr-v62-montes17a %I PMLR %P 229--240 %U https://proceedings.mlr.press/v62/montes17a.html %V 62 %X The Pari-Mutuel model is a distortion model that has its origin in horse racing. Since then, it has been applied in many different fields, such as finance or risk analysis. In this paper we investigate the properties of the Pari-Mutuel model within the framework of Imprecise Probabilities. Since a Pari-Mutuel model induces (2-monotone) coherent lower and upper probabilities, we investigate its connections with other relevant models within this theory, such as probability intervals and belief functions. We also determine the number of extreme points of the credal set induced by the Pari-Mutuel model and study how to combine the information given by multiple Pari-Mutuel models.
APA
Montes, I., Miranda, E. & Destercke, S.. (2017). A Study of the Pari-Mutuel Model from the Point of View of Imprecise Probabilities. Proceedings of the Tenth International Symposium on Imprecise Probability: Theories and Applications, in Proceedings of Machine Learning Research 62:229-240 Available from https://proceedings.mlr.press/v62/montes17a.html.

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