Bayesian logistic betting strategy against probability forecasting
We propose a betting strategy based on Bayesian logistic regression modeling for the probability forecasting game in the framework of game-theoretic probability by Shafer and Vovk (2001). We prove some results concerning the strong law of large numbers in the probability forecasting game with side information based on our strategy. We also apply our strategy for assessing the quality of probability forecasting by the Japan Meteorological Agency. We find that our strategy beats the agency by exploiting its tendency of avoiding clear-cut forecasts.
|Date of creation:||Apr 2012|
|Date of revision:|
|Publication status:||Published in Stochastic Analysis and Applications 31 (2013) 214-234|
|Contact details of provider:|| Web page: http://arxiv.org/|
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.:
- Kei Takeuchi & Akimichi Takemura & Masayuki Kumon, 2009. "New procedures for testing whether stock price processes are martingales," Papers 0907.3273, arXiv.org, revised Feb 2010.
- Thomas M. Cover, 1991. "Universal Portfolios," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 1-29.
- Masayuki Kumon & Akimichi Takemura & Kei Takeuchi, 2005. "Capital process and optimality properties of a Bayesian Skeptic in coin-tossing games," Papers math/0510662, arXiv.org, revised Sep 2008.
When requesting a correction, please mention this item's handle: RePEc:arx:papers:1204.3496. 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: (arXiv administrators)
If references are entirely missing, you can add them using this form.