One important application concerns a situation in which you have several indicators for a certain market. The question is: How do you most effectively combine multiple indicators? Based on certain delicate statistical measures, one could assign weights to the various indicators. But this approach tends to be assumption-laden regarding the relationship among the various indicators. In the literature on robust statistics you find that, in most circumstances, the best strategy is not some optimized weighting scheme, but rather weighting each indicator by 1 or 0. In other words, accept or reject.
...more
