Prequential probability: principles and properties (Q1283387)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Prequential probability: principles and properties |
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Prequential probability: principles and properties (English)
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16 January 2000
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The paper concerns the so-called prequential probability. The authors first illustrate various criteria to assess forecaster's empirical performance. They introduce a new game-theoretic framework for probability theory. A variety of forecasting tasks are introduced. Several validity criteria with various probabilistic motivations are considered.
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farthingale
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forecasting
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goodnes of fit
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limit theorems
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