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Good randomized sequential probability forecasting is always possible

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  • Vladimir Vovk
  • Glenn Shafer
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    Abstract

    Building on the game theoretic framework for probability, we show that it is possible, using randomization, to make sequential probability forecasts that will pass any given battery of statistical tests. This result, an easy consequence of von Neumann's minimax theorem, simplifies and generalizes work by earlier researchers. Copyright 2005 Royal Statistical Society.

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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9868.2005.00525.x
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    Bibliographic Info

    Article provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society Series B.

    Volume (Year): 67 (2005)
    Issue (Month): 5 ()
    Pages: 747-763

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    Handle: RePEc:bla:jorssb:v:67:y:2005:i:5:p:747-763

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    Cited by:
    1. Feinberg, Yossi & Stewart, Colin, 2007. "Testing Multiple Forecasters," Research Papers 1957, Stanford University, Graduate School of Business.
    2. Colin Stewart, 2009. "Nonmanipulable Bayesian Testing," Working Papers tecipa-360, University of Toronto, Department of Economics.
    3. Alvaro Sandroni & Wojciech Olszewski, 2008. "Manipulability of Future-Independent Tests," PIER Working Paper Archive 08-014, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    4. Alvaro Sandroni & Wojciech Olszewski, 2008. "Falsifiability," PIER Working Paper Archive 08-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    5. Wojciech Olszewski & Alvaro Sandroni, 2006. "Strategic Manipulation of Empirical Tests," Discussion Papers 1425, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    6. Wojciech Olszewski & Alvaro Sandroni, 2011. "Falsifiability," American Economic Review, American Economic Association, vol. 101(2), pages 788-818, April.
    7. Wojciech Olszewski & Marcin Pęski, 2011. "The Principal-Agent Approach to Testing Experts," American Economic Journal: Microeconomics, American Economic Association, vol. 3(2), pages 89-113, May.
    8. Dean Foster & Rakesh Vohra, 2011. "Calibration: Respice, Adspice, Prospice," Discussion Papers 1537, Northwestern University, Center for Mathematical Studies in Economics and Management Science.

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