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Calibrated Forecasting and Merging

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Author Info

  • Kalai, Ehud
  • Lehrer, Ehud
  • Smorodinsky, Rann

Abstract

Consider a general finite-state stochastic process governed by an unknown objective probability distribution. A forecaster, observing the system, assigns subjective probabilities to future states. The subjective forecast merges to the objective distribution if, with time, forecasted probabilities converge to the (unknown) correct probabilities. The forecast is calibrated if observed long-run empirical distributions coincide with their forecasted probabilities. This paper links the unobserved reliability of forecasts to their observed empirical performance by showing full equilvalents between notions of merging and calibration.

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File URL: http://www.sciencedirect.com/science/article/B6WFW-45GMDYD-9/2/84132595e853a8f4d3e0a1b151caf740
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Bibliographic Info

Article provided by Elsevier in its journal Games and Economic Behavior.

Volume (Year): 29 (1999)
Issue (Month): 1-2 (October)
Pages: 151-169

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Handle: RePEc:eee:gamebe:v:29:y:1999:i:1-2:p:151-169

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Web page: http://www.elsevier.com/locate/inca/622836

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References

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  1. Foster, Dean P. & Vohra, Rakesh V., 1997. "Calibrated Learning and Correlated Equilibrium," Games and Economic Behavior, Elsevier, vol. 21(1-2), pages 40-55, October.
  2. Ehud Kalai & Ehud Lehrer, 1992. "Weak and Strong Merging of Opinions," Discussion Papers 983, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  3. Sergiu Hart & Andreu Mas-Colell, 1996. "A simple adaptive procedure leading to correlated equilibrium," Economics Working Papers 200, Department of Economics and Business, Universitat Pompeu Fabra, revised Dec 1996.
  4. Dov Monderer & Dov Samet & Aner Sela, 2010. "Belief Affirming in Learning Processes," Levine's Working Paper Archive 420, David K. Levine.
  5. Ehud Kalai & Ehud Lehrer, 1990. "Merging Economic Forecasts," Discussion Papers 1035, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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