Dutch book in simple multivariate normal prediction: Another look

Details Dutch book in simple multivariate normal prediction: Another look Dutch book in simple multivariate normal prediction: Another look

2008-05-19

arxiv.org/abs/0805.2808v1

IMS Collections 2008, Vol. 2, 12-23

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/193940307000000356 the IMS Collections (http://www.imstat.org/publications/imscollec

Scientific paper

10.1214/193940307000000356

In this expository paper we describe a relatively elementary method of establishing the existence of a Dutch book in a simple multivariate normal prediction setting. The method involves deriving a nonstandard predictive distribution that is motivated by invariance. This predictive distribution satisfies an interesting identity which in turn yields an elementary demonstration of the existence of a Dutch book for a variety of possible predictive distributions.

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