Bayesian aggregation of two forecasts in the partial information framework

DOI10.1016/J.SPL.2016.07.018zbMATH Open1348.62017arXiv1608.04717OpenAlexW2478953266MaRDI QIDQ334027FDOQ334027

Authors: Robin Pemantle, Philip Ernst, Ville A. Satopää, Lyle H. Ungar 

Publication date: 31 October 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: We generalize the results of cite{SPU, SJPU} by showing how the Gaussian aggregator may be computed in a setting where parameter estimation is not required. We proceed to provide an explicit formula for a "one-shot" aggregation problem with two forecasters.

Full work available at URL: https://arxiv.org/abs/1608.04717

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zbMATH Keywords

Gaussian processexpertjudgmental forecastingprobability forecast

Mathematics Subject Classification ID

Gaussian processes (60G15) Bayesian problems; characterization of Bayes procedures (62C10)

Cites Work

• The Well-Calibrated Bayesian
• The bivariate normal copula
• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS
• Partial information framework: model-based aggregation of estimates from diverse information sources
• Title not available (Why is that?)
• Interpreted and generated signals

Cited In (4)

• Partial information framework: model-based aggregation of estimates from diverse information sources
• Regularized Aggregation of One-Off Probability Predictions
• Bounds on the probability of radically different opinions
• Learning optimal forecast aggregation in partial evidence environments

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