Insuring against loss of evidence in game-theoretic probability

DOI10.1016/J.SPL.2010.10.013zbMATH Open1206.62004arXiv1005.1811OpenAlexW2146170543WikidataQ57349547 ScholiaQ57349547MaRDI QIDQ618027FDOQ618027

Steven de Rooij, Vladimir Vovk, A. Shen, A. Philip Dawid, Glenn Shafer, Nikolai K. Vereshchagin

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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zbMATH Keywords

martingalesmathematical finance

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Probabilistic games; gambling (91A60)

Cites Work

• Title not available (Why is that?)
• Probability and finance. It's only a game!
• Imprecise probability trees: bridging two theories of imprecise probability
• Optimal search and one-way trading online algorithms
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Cited In (6)

• Game-theoretic statistics and safe anytime-valid inference
• Continuous-time trading and the emergence of probability
• Testing exchangeability: fork-convexity, supermartingales and e-processes
• Title not available (Why is that?)
• Randomness Tests: Theory and Practice
• Test martingales, Bayes factors and \(p\)-values

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