University of Illinois Urbana-Champaign

Eliciting continuous probability distributions

Haggerty, Ryan P.

Content Files
Haggerty_Ryan.pdf

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https://hdl.handle.net/2142/24099

Description

Title
Eliciting continuous probability distributions
Author(s)
Haggerty, Ryan P.
Issue Date
2011-05-25T15:07:14Z
Director of Research (if dissertation) or Advisor (if thesis)
Abbas, Ali E.
Department of Study
Industrial&Enterprise Sys Eng
Discipline
Systems & Entrepreneurial Engr
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
M.S.
Degree Level
Thesis
Date of Ingest
2011-05-25T15:07:14Z
Keyword(s)
  • Decision Analysis
  • Probability Assessment
  • Cumulative Prospect Theory
Abstract
The process of eliciting a representative probability distribution from a judge is fundamental to decision making under uncertainty. This work summarizes several aspects of eliciting continuous probability distributions. Through experimentation involving 103 judges the method of assessing single variable distributions by fixed variable or fixed probability method is compared. Slight, but consistent, superiority is shown by the fixed variable method. The use of iso-probability contours, a novel methodology for assessing joint probability distributions, is tested through experimentation. The ability of this method to assess a judges belief about the correlation of two variables is characterized. Further recommendations for the use of iso-probability contours are provided. The variable weighting function is introduced. This novel tool is designed to represent a subjects true belief about a continuous probability distribution as explained by cumulative prospect theory. Operating similarly to the probability weighting function, the variable weighting function allows an assessor to gain a judges belief about a specific variable value without requiring multiple assessments. Functional form of the variable weighting function is explored and relevant parameter values are provided.
Graduation Semester
2011-05
Permalink
http://hdl.handle.net/2142/24099
Copyright and License Information
Copyright 2011 Ryan Haggerty

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