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渐近校准

Asymptotic calibration

Biometrika · 1998
被引 205
ABS 4

中文导读

研究了在随机化条件下,预测者能否使任意事件序列的预测概率与经验概率任意接近,证明了随机化预测者可以获胜。

Abstract

Can we forecast the probability of an arbitrary sequence of events happening so that the stated probability of an event happening is close to its empirical probability? We can view this prediction problem as a game played against Nature, where at the beginning of the game Nature picks a data sequence and the forecaster picks a forecasting algorithm. If the forecaster is not allowed to randomise, then Nature wins; there will always be data for which the forecaster does poorly. This paper shows that, if the forecaster can randomise, the forecaster wins in the sense that the forecasted probabilities and the empirical probabilities can be made arbitrarily close to each other.

统计学计算机科学数学预测理论