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Calibrated Forecasting and Merging

  • Kalai, Ehud
  • Lehrer, Ehud
  • Smorodinsky, Rann

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.sciencedirect.com/science/article/B6WFW-45GMDYD-9/2/84132595e853a8f4d3e0a1b151caf740
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Article provided by Elsevier in its journal Games and Economic Behavior.

Volume (Year): 29 (1999)
Issue (Month): 1-2 (October)
Pages: 151-169

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Handle: RePEc:eee:gamebe:v:29:y:1999:i:1-2:p:151-169
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622836

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  1. S. Hart & A. Mas-Collel, 2010. "A Simple Adaptive Procedure Leading to Correlated Equilibrium," Levine's Working Paper Archive 572, David K. Levine.
  2. Monderer, Dov & Samet, Dov & Sela, Aner, 1997. "Belief Affirming in Learning Processes," Journal of Economic Theory, Elsevier, vol. 73(2), pages 438-452, April.
  3. Ehud Kalai & Ehud Lehrer, 1992. "Weak and Strong Merging of Opinions," Discussion Papers 983, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  4. 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.
  5. Ehud Kalai & Ehud Lehrer, 1990. "Merging Economic Forecasts," Discussion Papers 1035, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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