Dutch book in simple multivariate normal prediction: Another look

DOI10.1214/193940307000000356MaRDI QIDQ3626758zbMATH OpenOpenAlexFDO

Authors Morris L. Eaton

Publication date 22 May 2009

Published in Institute of Mathematical Statistics Collections (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0805.2808

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Statistical decision theory (62C99) Multivariate analysis (62H99)

Abstract: 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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