Calibration with many checking rules

Calibration with many checking rules

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Article ID: iaor2004900
Country: United States
Volume: 28
Issue: 1
Start Page Number: 141
End Page Number: 153
Publication Date: Feb 2003
Journal: Mathematics of Operations Research
Authors: , ,
Keywords: measurement
Abstract:

Each period an outcome (out of finitely many possibilities) is observed. For simplicity assume two possible outcomes, a and b. Each period, a forecaster announces the probability of a occurring next period based on the past. Consider an arbitrary subsequence of periods (e.g., odd periods, even periods, all periods in which b is observed, etc.). Given an integer n, divide any such subsequence into associated sub-subsequences in which the forecast for a is between [i/n, i+1/n), i ∈ {0, 1,..., n}. We compare the forecasts and the outcomes (realized next period) separately in each of these sub-subsequences. Given any countable partition of [0, 1] and any countable collection of subsequences, we construct a forecasting scheme such that for all infinite strings of data, the long-run average forecasts for a matches the long-run frequency of realized a's.

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