Insuring against loss of evidence in game-theoretic probability

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

(2010)

Philip Dawid, A., de Rooij, Steven, Shafer, Glenn, Shen, Alexander, Vereshchagin, Nikolai and Vovk, Vladimir (2010) Insuring against loss of evidence in game-theoretic probability.

Our Full Text Deposits

Full text access: Open

Full text file - 329.17 KB

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.

Information about this Version

This is a Submitted version
This version's date is: 11/5/2010
This item is not peer reviewed

Link to this Version

https://repository.royalholloway.ac.uk/items/239fb0c3-5aa3-609b-1bdd-ca173b7d47d6/7/

Item TypeMonograph (Working Paper)
TitleInsuring against loss of evidence in game-theoretic probability
AuthorsPhilip Dawid, A.
de Rooij, Steven
Shafer, Glenn
Shen, Alexander
Vereshchagin, Nikolai
Vovk, Vladimir
Uncontrolled Keywordsmath.ST, math.PR, q-fin.TR, stat.TH, 62A01, 60A05, 60G42
DepartmentsFaculty of Science\Computer Science

Identifiers
doihttp://dx.doi.org/10.1016/j.spl.2010.10.013

Deposited by Research Information System (atira) on 22-Jul-2014 in Royal Holloway Research Online.Last modified on 22-Jul-2014

Notes

7 pages. The most up-to-date version can be found at http://www.probabilityandfinance.com/ (Working Paper 34). That version includes an application to financial markets (in which case our result can be used for insuring against loss of the accumulated capital).

Details