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Calibrated Forecasting and Merging

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Author Info
Ehud Kalai

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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.

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File URL: http://www.kellogg.northwestern.edu/research/math/papers/1144.pdf
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Paper provided by Northwestern University, Center for Mathematical Studies in Economics and Management Science in its series Discussion Papers with number 1144.

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Date of creation: Dec 1995
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Handle: RePEc:nwu:cmsems:1144

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  1. Drew Fudenberg & David K. Levine, 1996. "An Easier Way to Calibrate," Levine's Working Paper Archive 2059, David K. Levine. [Downloadable!]
    Other versions:
  2. Eddie Dekel & Yossi Feinberg, 2006. "A True Expert Knows which Question Should be Asked," Discussion Papers 1385, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
    Other versions:
  3. Yuichi Noguchi, 2009. "Note on universal conditional consistency," International Journal of Game Theory, Springer, vol. 38(2), pages 193-207, June. [Downloadable!] (restricted)
  4. Dean P. Foster & Rakesh V. Vohra, 1999. "Calibration, Expected Utility and Local Optimality," Discussion Papers 1254, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
  5. Alvaro Sandroni & Wojciech Olszewski, 2008. "Strategic Manipulation of Empirical Tests," PIER Working Paper Archive 08-015, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
    Other versions:
  6. Alvaro Sandroni & Wojciech Olszewski, 2008. "Falsifiability," PIER Working Paper Archive 08-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
  7. Eddie Dekel & Yossi Feinberg, 2005. "No Manipulation Results for Non-Bayesian Tests," Levine's Working Paper Archive 784828000000000217, David K. Levine. [Downloadable!]
  8. Eddie Dekel & Yossi Feinberg, 2006. "Non-Bayesian Testing of a Stochastic Prediction," Discussion Papers 1418, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
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  9. Nabil I. Al-Najjar & Jonathan Weinstein, 2006. "Comparative Testing of Experts," Levine's Working Paper Archive 321307000000000590, David K. Levine. [Downloadable!]
  10. Feinberg, Yossi & Stewart, Colin, 2007. "Testing Multiple Forecasters," Research Papers 1957, Stanford University, Graduate School of Business. [Downloadable!]
    Other versions:
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