Proper Calibeating

Dean P. Foster and Sergiu Hart

Papers from arXiv.org

Abstract: The classic concept of "calibrated forecasts" and its more recent refinement, "calibeating," are defined with respect to the standard quadratic scoring rule. We extend these notions to the class of proper scoring rules (for which the true distribution is an optimal forecast) and define \textit{proper calibration} and \textit{proper calibeating} by requiring the corresponding guarantees to hold uniformly over all bounded proper scoring rules. We first establish that calibration always implies proper calibration, whereas calibeating need not imply proper calibeating. Second, we show how to guarantee proper calibeating and proper multicalibeating; in particular, \textit{complete calibeating}---a strong form of calibeating that calibeats the joint binning---is always proper. Finally, we consider \textit{decision-making under uncertainty}, where one best replies to the forecasts. We establish that (proper) calibration is equivalent to universal no regret, and (proper) complete calibeating is equivalent to universal no regret together with universal subsuming of the reference sequence, where \textit{universal} refers to all bounded utility functions.

Date: 2026-05, Revised 2026-09
New Economics Papers: this item is included in nep-des and nep-for
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