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Forecast Hedging and Calibration
Forecast Hedging and Calibration
Dean P. Foster and Sergiu Hart
Abstract
Calibration means that forecasts and average realized frequencies are close.
We develop the concept of forecast hedging, which consists of choosing
the forecasts so as to guarantee that the
expected track record can only improve.
This yields all the calibration results by the same simple basic argument,
while differentiating between them by the forecast-hedging tools used:
deterministic and fixed point-based versus stochastic and minimax-based.
Additional contributions are an improved definition of continuous calibration,
ensuing game dynamics that yield Nash equilibria in the long run,
and a new calibrated forecasting procedure for binary events
that is simpler than all known such procedures.
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First version: April 2016
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The Hebrew University of Jerusalem, Center for Rationality DP-731,
November 2019
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Revised: June 2020
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Revised: November 2020
- Journal of Political Economy 129, 12 (December 2021),
3447-3490
doi.org/10.1086/716559
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