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Calibrated Forecasting and Merging

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

Abstract

Consider a general finite-state stochastic process governed by an unknown objective probability distribution. Observing the system, a forecaster assigns subjective probabilities to future states. The resulting subjective forecast merges to the objective distribution if, with time, the forecasted probabilities converge to the correct (but unknown) probabilities. The forecast is calibrated if observed long-run empirical distributions coincide with the forecasted probabilities. This paper links the unobserved reliability of forecasts to their observed empirical performance by demonstrating full equilvalence between notions of merging and of calibration. It also indicates some implications of this equilvalence for the literatures of forecasting and learning.

(This abstract was borrowed from another version of this item.)

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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. 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.
  2. 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.
  3. Ehud Kalai & Ehud Lehrer, 1990. "Merging Economic Forecasts," Discussion Papers 1035, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  4. S. Hart & A. Mas-Collel, 2010. "A Simple Adaptive Procedure Leading to Correlated Equilibrium," Levine's Working Paper Archive 572, David K. Levine.
  5. Monderer, Dov & Samet, Dov & Sela, Aner, 1997. "Belief Affirming in Learning Processes," Journal of Economic Theory, Elsevier, vol. 73(2), pages 438-452, April.
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