Suppose that we are selecting for U=X+V where V is true utility and X is error. If our estimator is unbiased (E[X|V=v]=0 for all v) and X is light-tailed conditional on any value of V, do we have limt→∞E[V|X+V≥t]=∞?
No; here is a counterexample. Suppose that V∼N(0,1), and X|V∼N(0,4) when V∈[−1,1], otherwise X=0. Then I think limt→∞E[V|X+V≥t]=0.
This is worrying because in the case where V∼N(0,1) and X∼N(0,4) independently, we do get infinite V. Merely making the error *smaller* for large values of V causes catastrophe. This suggests that success caused by light-tailed error when V has even lighter tails than X is fragile, and that these successes are “for the wrong reason”: they require a commensurate overestimate of the value when V is high as when V is low.
Suppose that we are selecting for U=X+V where V is true utility and X is error. If our estimator is unbiased (E[X|V=v]=0 for all v) and X is light-tailed conditional on any value of V, do we have limt→∞E[V|X+V≥t]=∞?
No; here is a counterexample. Suppose that V∼N(0,1), and X|V∼N(0,4) when V∈[−1,1], otherwise X=0. Then I think limt→∞E[V|X+V≥t]=0.
This is worrying because in the case where V∼N(0,1) and X∼N(0,4) independently, we do get infinite V. Merely making the error *smaller* for large values of V causes catastrophe. This suggests that success caused by light-tailed error when V has even lighter tails than X is fragile, and that these successes are “for the wrong reason”: they require a commensurate overestimate of the value when V is high as when V is low.