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Insuring against loss of evidence in game-theoretic probability

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  • A. Philip Dawid
  • Steven de Rooij
  • Glenn Shafer
  • Alexander Shen
  • Nikolai Vereshchagin
  • Vladimir Vovk
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    Abstract

    We consider the game-theoretic scenario of testing the performance of Forecaster by Sceptic who gambles against the forecasts. Sceptic's current capital is interpreted as the amount of evidence he has found against Forecaster. Reporting the maximum of Sceptic's capital so far exaggerates the evidence. We characterize the set of all increasing functions that remove the exaggeration. This result can be used for insuring against loss of evidence.

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    File URL: http://arxiv.org/pdf/1005.1811
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1005.1811.

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    Date of creation: May 2010
    Date of revision: Oct 2010
    Publication status: Published in Statistics and Probability Letters 81, 157 - 162 (2011)
    Handle: RePEc:arx:papers:1005.1811

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    Web page: http://arxiv.org/

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