“Calibeating”: Beating forecasters at their own game
提出一种方法,可以在不损失预测专业性的前提下改善校准分数,称为“校准击败”,并提供了确定性在线程序和随机程序来实现。
To identify expertise, forecasters should not be tested by their calibration score, which can always be made arbitrarily small, but rather by their Brier score. The Brier score is the sum of the calibration score and the refinement score; the latter measures how good the sorting into bins with the same forecast is, and thus attests to “expertise.” This raises the question of whether one can gain calibration without losing expertise, which we refer to as “calibeating.” We provide an easy way to calibeat any forecast, by a deterministic online procedure. We moreover show that calibeating can be achieved by a stochastic procedure that is itself calibrated, and then extend the results to simultaneously calibeating multiple procedures, and to deterministic procedures that are continuously calibrated.