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Calibration: Respice, Adspice, Prospice

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  • Dean Foster
  • Rakesh Vohra
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    Abstract

    “Those who claim for themselves to judge the truth are bound to possess a criterion of truth.” JEL Code: C18, C53, D89

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    Bibliographic Info

    Paper provided by Northwestern University, Center for Mathematical Studies in Economics and Management Science in its series Discussion Papers with number 1537.

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    Date of creation: 01 May 2011
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    Handle: RePEc:nwu:cmsems:1537

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    Related research

    Keywords: calibration; prediction;

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    1. Ehud Kalai & Ehud Lehrer & Rann Smorodinsky, 2010. "Calibrated Forecasting and Merging," Levine's Working Paper Archive 584, David K. Levine.
    2. Matthew O. Jackson & Ehud Kalai & Rann Smorodinsky, 1999. "Bayesian Representation of Stochastic Processes under Learning: de Finetti Revisited," Econometrica, Econometric Society, vol. 67(4), pages 875-894, July.
    3. Shmaya, Eran, 2008. "Many inspections are manipulable," Theoretical Economics, Econometric Society, vol. 3(3), September.
    4. Alvaro Sandroni, 2003. "The reproducible properties of correct forecasts," International Journal of Game Theory, Springer, vol. 32(1), pages 151-159, December.
    5. Andrés Carvajal, 2006. "Statistical Calibration: a simplification of Foster's Prof," INVESTIGACIÓN ECONÓMICA EN COLOMBIA 003525, FUNDACIÓN PONDO.
    6. Foster, Dean P. & Vohra, Rakesh V., 1997. "Calibrated Learning and Correlated Equilibrium," Games and Economic Behavior, Elsevier, vol. 21(1-2), pages 40-55, October.
    7. Yossi Feinberg & Colin Stewart, 2008. "Testing Multiple Forecasters," Econometrica, Econometric Society, vol. 76(3), pages 561-582, 05.
    8. Sandroni, Alvaro & Smorodinsky, Rann, 2004. "Belief-based equilibrium," Games and Economic Behavior, Elsevier, vol. 47(1), pages 157-171, April.
    9. Dean P. Foster & H. Peyton Young, 2010. "Gaming Performance Fees by Portfolio Managers," The Quarterly Journal of Economics, MIT Press, vol. 125(4), pages 1435-1458, November.
    10. Nabil I. Al-Najjar & Jonathan Weinstein, 2006. "Comparative Testing of Experts," Levine's Working Paper Archive 321307000000000590, David K. Levine.
    11. 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.
    12. Hart, Sergiu & Mas-Colell, Andreu, 2001. "A General Class of Adaptive Strategies," Journal of Economic Theory, Elsevier, vol. 98(1), pages 26-54, May.
    13. Colin, Stewart, 2011. "Nonmanipulable Bayesian testing," Journal of Economic Theory, Elsevier, vol. 146(5), pages 2029-2041, September.
    14. Vladimir Vovk & Glenn Shafer, 2005. "Good randomized sequential probability forecasting is always possible," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(5), pages 747-763.
    15. 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.
    16. Drew Fudenberg & David K. Levine, 1996. "An Easier Way to Calibrate," Levine's Working Paper Archive 2059, David K. Levine.
    17. Jonathan Ingersoll & Ivo Welch, 2007. "Portfolio Performance Manipulation and Manipulation-proof Performance Measures," Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1503-1546, 2007 17.
    18. Foster, Dean P., 1999. "A Proof of Calibration via Blackwell's Approachability Theorem," Games and Economic Behavior, Elsevier, vol. 29(1-2), pages 73-78, October.
    19. Shie Mannor & Gilles Stoltz, 2009. "A Geometric Proof of Calibration," Working Papers hal-00442042, HAL.
    20. Lance Fortnow & Rakesh V. Vohra, 2009. "The Complexity of Forecast Testing," Econometrica, Econometric Society, vol. 77(1), pages 93-105, 01.
    21. Al-Najjar, Nabil I. & Sandroni, Alvaro & Smorodinsky, Rann & Weinstein, Jonathan, 2010. "Testing theories with learnable and predictive representations," Journal of Economic Theory, Elsevier, vol. 145(6), pages 2203-2217, November.
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