Robust Forecast Aggregation

Itai Areili, Yakov Babichenko and Rann Smorodinsky

Papers from arXiv.org

Abstract: Bayesian experts who are exposed to different evidence often make contradictory probabilistic forecasts. An aggregator, ignorant of the underlying model, uses this to calculate her own forecast. We use the notions of scoring rules and regret to propose a natural way to evaluate an aggregation scheme. We focus on a binary state space and construct low regret aggregation schemes whenever there are only two experts which are either Blackwell-ordered or receive conditionally i.i.d. signals. In contrast, if there are many experts with conditionally i.i.d. signals, then no scheme performs (asymptotically) better than a $(0.5,0.5)$ forecast.

Date: 2017-10, Revised 2018-02
New Economics Papers: this item is included in nep-cta, nep-for and nep-mic
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Citations: View citations in EconPapers (6)

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