Contradictory predictions

arXiv1912.00126MaRDI QIDQ6330145FDOQ6330145

Authors: K. Burdzy, Soumik Pal 

Publication date: 29 November 2019

Abstract: We prove the sharp bound for the probability that two experts who have access to different information, represented by different $sigma$-fields, will give radically different estimates of the probability of an event. This is relevant when one combines predictions from various experts in a common probability space to obtain an aggregated forecast. Our proof is constructive in the sense that, not only the sharp bounds are proved, but also the optimizer is constructed via an explicit algorithm.

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

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