Regression games

Pintér, Miklós (2011) Regression games. Annals of Operations Research, 186 (1). pp. 263-274. DOI 10.1007/s10479-011-0897-0

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The solution of a TU cooperative game can be a distribution of the value of the grand coalition, i.e. it can be a distribution of the payo (utility) all the players together achieve. In a regression model, the evaluation of the explanatory variables can be a distribution of the overall t, i.e. the t of the model every regressor variable is involved. Furthermore, we can take regression models as TU cooperative games where the explanatory (regressor) variables are the players. In this paper we introduce the class of regression games, characterize it and apply the Shapley value to evaluating the explanatory variables in regression models. In order to support our approach we consider Young (1985)'s axiomatization of the Shapley value, and conclude that the Shapley value is a reasonable tool to evaluate the explanatory variables of regression models.

Item Type:Article
Uncontrolled Keywords:TU game, Shapley value, Young's axiomatization of the Shapley value, Linear regression model
Subjects:Mathematics, Econometrics
Funders:János Bolyai Research Scholarship of the Hungarian Academy of Sciences
ID Code:559
Deposited By: Ádám Hoffmann
Deposited On:13 Mar 2012 15:54
Last Modified:16 Aug 2012 23:21

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