Bayesian Logistic Betting Strategy Against Probability Forecasting

DOI10.1080/07362994.2013.741418zbMath1291.91043arXiv1204.3496MaRDI QIDQ4916954

Masayuki Kumon, Jing Li, Kei Takeuchi, Akimichi Takemura

Publication date: 26 April 2013

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.3496

zbMATH Keywords

exponential family; laws of large numbers; game-theoretic probability; Bayesian logistic regression; rain forecasts

Mathematics Subject Classification ID

60G42: Martingales with discrete parameter

62C10: Bayesian problems; characterization of Bayes procedures

60F15: Strong limit theorems

60G40: Stopping times; optimal stopping problems; gambling theory

91A60: Probabilistic games; gambling

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