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A proof of Calibration via Blackwell's Approachability Theorem

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  • Dean P Foster

Abstract

Over the past few years many proofs of calibration have been presented (Foster and Vohra (1991, 1997), Hart (1995), Fudenberg and Levine (1995), Hart and Mas-Colell (1996)). Does the literature really need one more? Probably not, but this algorithim for being calibrated is particularly simple and doesn't require a matrix inversion. Further the proof follows directly from Blackwell's approachability theorem. For these reasons it might be useful in the class room.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Dean P Foster, 1997. "A proof of Calibration via Blackwell's Approachability Theorem," Levine's Working Paper Archive 591, David K. Levine.
  • Handle: RePEc:cla:levarc:591
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    File URL: http://www.dklevine.com/archive/calibration_via_blackwell.pdf
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    References listed on IDEAS

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    1. Fudenberg, Drew & Levine, David K., 1999. "An Easier Way to Calibrate," Games and Economic Behavior, Elsevier, vol. 29(1-2), pages 131-137, October.
    2. Sergiu Hart & Andreu Mas-Colell, 2000. "A Simple Adaptive Procedure Leading to Correlated Equilibrium," Econometrica, Econometric Society, vol. 68(5), pages 1127-1150, September.
    3. D. Blackwell, 2010. "An Analog of the Minmax Theorem for Vector Payoffs," Levine's Working Paper Archive 466, David K. Levine.
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    Cited by:

    1. DeMarzo, Peter M. & Kremer, Ilan & Mansour, Yishay, 2016. "Robust option pricing: Hannan and Blackwell meet Black and Scholes," Journal of Economic Theory, Elsevier, vol. 163(C), pages 410-434.
    2. Dean Foster & Rakesh Vohra, 2011. "Calibration: Respice, Adspice, Prospice," Discussion Papers 1537, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    3. repec:eee:gamebe:v:109:y:2018:i:c:p:271-293 is not listed on IDEAS
    4. Foster, Dean P. & Young, H. Peyton, 2003. "Learning, hypothesis testing, and Nash equilibrium," Games and Economic Behavior, Elsevier, vol. 45(1), pages 73-96, October.
    5. repec:eee:gamebe:v:108:y:2018:i:c:p:411-431 is not listed on IDEAS
    6. Ehud Lehrer & Eilon Solan, 2016. "A General Internal Regret-Free Strategy," Dynamic Games and Applications, Springer, vol. 6(1), pages 112-138, March.
    7. Shie Mannor & Gilles Stoltz, 2010. "A Geometric Proof of Calibration," Mathematics of Operations Research, INFORMS, vol. 35(4), pages 721-727, November.
    8. Olszewski, Wojciech, 2015. "Calibration and Expert Testing," Handbook of Game Theory with Economic Applications, Elsevier.
    9. Fudenberg, Drew & Levine, David K., 1999. "An Easier Way to Calibrate," Games and Economic Behavior, Elsevier, vol. 29(1-2), pages 131-137, October.
    10. Vianney Perchet, 2015. "Exponential Weight Approachability, Applications to Calibration and Regret Minimization," Dynamic Games and Applications, Springer, vol. 5(1), pages 136-153, March.
    11. Mannor, Shie & Shimkin, Nahum, 2008. "Regret minimization in repeated matrix games with variable stage duration," Games and Economic Behavior, Elsevier, vol. 63(1), pages 227-258, May.

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