Insuring against loss of evidence in game-theoretic probability
AbstractWe 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1005.1811.
Date of creation: May 2010
Date of revision: Oct 2010
Publication status: Published in Statistics and Probability Letters 81, 157 - 162 (2011)
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-30 (All new papers)
- NEP-FOR-2010-10-30 (Forecasting)
- NEP-GTH-2010-10-30 (Game Theory)
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