Insuring against loss of evidence in game-theoretic probability
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Publication:618027
DOI10.1016/J.SPL.2010.10.013zbMATH Open1206.62004OpenAlexW2146170543WikidataQ57349547 ScholiaQ57349547MaRDI QIDQ618027FDOQ618027
Authors: A. Philip Dawid, Steven de Rooij, A. Shen, Glenn Shafer, Nikolai K. Vereshchagin, Vladimir Vovk 
Publication date: 14 January 2011
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Abstract: 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.
Full work available at URL: https://arxiv.org/abs/1005.1811
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