Advanced Search
MyIDEAS: Login to save this paper or follow this series

Calibrated Forecasting and Merging

Contents:

Author Info

  • Ehud Kalai
  • Ehud Lehrer
  • Rann Smorodinsky

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.

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

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.dklevine.com/archive/refs4584.pdf
Download Restriction: no

Bibliographic Info

Paper provided by David K. Levine in its series Levine's Working Paper Archive with number 584.

as in new window
Length:
Date of creation: 09 Dec 2010
Date of revision:
Handle: RePEc:cla:levarc:584

Contact details of provider:
Web page: http://www.dklevine.com/

Related research

Keywords:

Other versions of this item:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Monderer, Dov & Samet, Dov & Sela, Aner, 1997. "Belief Affirming in Learning Processes," Journal of Economic Theory, Elsevier, Elsevier, vol. 73(2), pages 438-452, April.
  2. Sergiu Hart & Andreu Mas-Colell, 2000. "A Simple Adaptive Procedure Leading to Correlated Equilibrium," Econometrica, Econometric Society, Econometric Society, vol. 68(5), pages 1127-1150, September.
  3. Kalai, Ehud & Lehrer, Ehud, 1994. "Weak and strong merging of opinions," Journal of Mathematical Economics, Elsevier, vol. 23(1), pages 73-86, January.
  4. Foster, Dean P. & Vohra, Rakesh V., 1997. "Calibrated Learning and Correlated Equilibrium," Games and Economic Behavior, Elsevier, Elsevier, vol. 21(1-2), pages 40-55, October.
  5. Ehud Kalai & Ehud Lehrer, 1990. "Merging Economic Forecasts," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 1035, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cla:levarc:584. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (David K. Levine).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.