Calibrated Forecasting and Merging
AbstractConsider 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.
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Date of creation: 09 Dec 2010
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Other versions of this item:
- Ehud Kalai, 1995. "Calibrated Forecasting and Merging," Discussion Papers 1144, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Ehud Kalai, 1995. "Calibrated Forecasting and Merging," Discussion Papers 1144R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- NEP-ALL-2010-12-18 (All new papers)
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