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Statistical calibration: a simplification of Foster’s proof

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Carvajal, Andrés M.. (2009) Statistical calibration: a simplification of Foster’s proof. Mathematical Social Sciences, Vol.58 (No.2). pp. 272-277. ISSN 0165-4896

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Official URL: http://dx.doi.org/10.1016/j.mathsocsci.2009.04.001...

Abstract

Foster (1999) has given a proof of the Calibration Theorem of Foster and Vohra (1998), using the Approachability Theorem proposed by Blackwell (1956). This note presents a simplified version of Foster’s argument, invoking the specialization given by Greenwald et al. (2006) of Blackwell’s Theorem.

Item Type:	Journal Article
Subjects:	Q Science > QA Mathematics H Social Sciences > HA Statistics
Divisions:	Faculty of Social Sciences > Economics
Library of Congress Subject Headings (LCSH):	Economic forecasting, Prediction theory -- Research, Bayesian statistical decision theory, Econometric models, Stochastic analysis
Journal or Publication Title:	Mathematical Social Sciences
Publisher:	Elsevier BV
ISSN:	0165-4896
Date:	September 2009
Volume:	Vol.58
Number:	No.2
Page Range:	pp. 272-277
Identification Number:	10.1016/j.mathsocsci.2009.04.001
Status:	Peer Reviewed
Access rights to Published version:	Open Access
References:	Blackwell, D., \An analog of the Minimax Theorem for vector payos," Pacic Journal of Mathematics 6, 1-8, 1956. Greenwald, A., A. Jafari and C. Marks, \Blackwell's Approachability Theorem: a general- ization in a special case," Dept. of Computer Science, Brown University, CS-06-01, 2006. Foster, D., \A proof of calibration via Blackwell's approachability theorem," Games and Economic Behavior 29, 73-78, 1999. Foster, D. and R. Vohra, \Asymptotic calibration," Biometrika 85, 379-390, 1998.
URI:	http://wrap.warwick.ac.uk/id/eprint/3380