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An Easier Way to Calibrate

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  • Drew Fudenberg
  • David K. Levine

Abstract

Forecasts are said to be calibrated if the frequency predictions are approximately correct. This is a refinement of an idea first introduced by David Blackwell in 1955. We show that “ K-initialized myopic strategies†are approximately calibrated when K is large. These strategies first “initialize†by making each forecast exactly K times, and thereafter play, in each period t , the minmax strategy in a static game.

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Bibliographic Info

Paper provided by David K. Levine in its series Levine's Working Paper Archive with number 2059.

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Date of creation: 07 Dec 1996
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Handle: RePEc:cla:levarc:2059

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Web page: http://www.dklevine.com/

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References

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  1. Fudenberg, Drew & Levine, David, 1999. "Conditional Universal Consistency," Scholarly Articles 3204826, Harvard University Department of Economics.
  2. S. Hart & A. Mas-Collel, 2010. "A Simple Adaptive Procedure Leading to Correlated Equilibrium," Levine's Working Paper Archive 572, David K. Levine.
  3. Kalai, Ehud & Lehrer, Ehud & Smorodinsky, Rann, 1999. "Calibrated Forecasting and Merging," Games and Economic Behavior, Elsevier, Elsevier, vol. 29(1-2), pages 151-169, October.
  4. D. Blackwell, 2010. "Controlled Random Walks," Levine's Working Paper Archive 465, David K. Levine.
  5. Fudenberg, Drew & Levine, David, 1995. "Consistency and Cautious Fictitious Play," Scholarly Articles 3198694, Harvard University Department of Economics.
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Citations

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Cited by:
  1. Dean Foster & Rakesh Vohra, 2011. "Calibration: Respice, Adspice, Prospice," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 1537, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  2. Alvaro Sandroni & Wojciech Olszewski, 2008. "Falsifiability," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 08-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  3. Wojciech Olszewski & Marcin Pęski, 2011. "The Principal-Agent Approach to Testing Experts," American Economic Journal: Microeconomics, American Economic Association, American Economic Association, vol. 3(2), pages 89-113, May.
  4. Fudenberg, Drew & Levine, David, 1999. "Conditional Universal Consistency," Scholarly Articles 3204826, Harvard University Department of Economics.
  5. Shie Mannor & Gilles Stoltz, 2009. "A Geometric Proof of Calibration," Working Papers, HAL hal-00442042, HAL.
  6. Aukutsionek, Sergei P. & Belianin, Alexis V., 2001. "Quality of forecasts and business performance: A survey study of Russian managers," Journal of Economic Psychology, Elsevier, Elsevier, vol. 22(5), pages 661-692, October.
  7. Nabil I. Al-Najjar & Jonathan Weinstein, 2006. "Comparative Testing of Experts," Levine's Working Paper Archive 321307000000000590, David K. Levine.
  8. Mannor, Shie & Shimkin, Nahum, 2008. "Regret minimization in repeated matrix games with variable stage duration," Games and Economic Behavior, Elsevier, Elsevier, vol. 63(1), pages 227-258, May.
  9. Alvaro Sandroni & Wojciech Olszewski, 2008. "Strategic Manipulation of Empirical Tests," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 08-015, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  10. Peyton Young, 2002. "Learning Hypothesis Testing and Nash Equilibrium," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics 474, The Johns Hopkins University,Department of Economics.
  11. Wojciech Olszewski & Alvaro Sandroni, 2008. "Manipulability of Future-Independent Tests," Econometrica, Econometric Society, Econometric Society, vol. 76(6), pages 1437-1466, November.
  12. Al-Najjar, Nabil I. & Sandroni, Alvaro & Smorodinsky, Rann & Weinstein, Jonathan, 2010. "Testing theories with learnable and predictive representations," Journal of Economic Theory, Elsevier, Elsevier, vol. 145(6), pages 2203-2217, November.
  13. Foster, Dean P. & Vohra, Rakesh, 1999. "Regret in the On-Line Decision Problem," Games and Economic Behavior, Elsevier, Elsevier, vol. 29(1-2), pages 7-35, October.
  14. Wojciech Olszewski & Alvaro Sandroni, 2011. "Falsifiability," American Economic Review, American Economic Association, American Economic Association, vol. 101(2), pages 788-818, April.

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