Insuring against loss of evidence in game-theoretic probability

A. Philip Dawid, Steven de Rooij, Glenn Shafer, Alexander Shen, Nikolai Vereshchagin and Vladimir Vovk

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Abstract: We consider the game-theoretic scenario of testing the performance of Forecaster by Sceptic who gambles against the forecasts. Sceptic's current capital is interpreted as the amount of evidence he has found against Forecaster. Reporting the maximum of Sceptic's capital so far exaggerates the evidence. We characterize the set of all increasing functions that remove the exaggeration. This result can be used for insuring against loss of evidence.

Date: 2010-05, Revised 2010-10
New Economics Papers: this item is included in nep-for and nep-gth
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Published in Statistics and Probability Letters 81, 157 - 162 (2011)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1005.1811

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