Extremizing and Antiextremizing in Bayesian Ensembles of Binary-Event Forecasts

Kenneth C. Lichtendahl (), Yael Grushka-Cockayne (), Victor Richmond Jose () and Robert L. Winkler ()
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Kenneth C. Lichtendahl: Darden School of Business, University of Virginia, Charlottesville, Virginia 22903
Yael Grushka-Cockayne: Darden School of Business, University of Virginia, Charlottesville, Virginia 22903
Victor Richmond Jose: McDonough School of Business, Georgetown University, Washington, District of Columbia 20057
Robert L. Winkler: The Fuqua School of Business, Duke University, Durham, North Carolina 27708

Operations Research, 2022, vol. 70, issue 5, 2998-3014

Abstract: Probability forecasts of binary events are often gathered from multiple models or experts and averaged to provide inputs regarding uncertainty in important decision-making problems. Averages of well-calibrated probabilities are underconfident, and methods have been proposed to make them more extreme. To aggregate probabilities, we introduce a class of ensembles that are generalized additive models. These ensembles are based on Bayesian principles and can help us learn why and when extremizing is appropriate. Extremizing is typically viewed as shifting the average probability farther from one half; we emphasize that it is more suitable to define extremizing as shifting it farther from the base rate. We introduce the notion of antiextremizing to learn instances in which it might be beneficial to make average probabilities less extreme. Analytically, we find that our Bayesian ensembles often extremize the average forecast but sometimes antiextremize instead. On several publicly available data sets, we demonstrate that our Bayesian ensemble performs well and antiextremizes anywhere from 18% to 73% of the cases. It antiextremizes much more often when there is bracketing with respect to the base rate among the probabilities being aggregated than with no bracketing, suggesting that bracketing is a promising indicator of when we should consider antiextremizing.

Keywords: Decision Analysis; forecast aggregation; linear opinion pool; generalized linear model; extremizing and antiextremizing; bracketing; probit ensemble (search for similar items in EconPapers)
Date: 2022
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