Insuring against loss of evidence in game-theoretic probability

Details Insuring against loss of evidence in game-theoretic probability Insuring against loss of evidence in game-theoretic probability

2010-05-11

arxiv.org/abs/1005.1811v2

Statistics and Probability Letters 81, 157 - 162 (2011)

Mathematics

Statistics Theory

7 pages. This version (version 2) is identical to version 1 (May 2010). The most up-to-date version can be found at http://w

Scientific paper

10.1016/j.spl.2010.10.013

We consider the game-theoretic scenario of testing the performance of Forecaster by Sceptic who gambles against the forecasts. Sceptic's current capital is interpreted as the amount of evidence he has found against Forecaster. Reporting the maximum of Sceptic's capital so far exaggerates the evidence. We characterize the set of all increasing functions that remove the exaggeration. This result can be used for insuring against loss of evidence.

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