Robust Forecast Aggregation
Yakov Babichenko and
Papers from arXiv.org
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.
New Economics Papers: this item is included in nep-cta, nep-for and nep-mic
Date: 2017-10, Revised 2018-02
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1710.02838
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