Philip Dawid, A., de Rooij, Steven, Shafer, Glenn, Shen, Alexander, Vereshchagin, Nikolai and Vovk, Vladimir (2010) Insuring against loss of evidence in game-theoretic probability.
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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.
This is a Submitted version This version's date is: 11/5/2010 This item is not peer reviewed
https://repository.royalholloway.ac.uk/items/239fb0c3-5aa3-609b-1bdd-ca173b7d47d6/4/
Deposited by Research Information System (atira) on 03-Jul-2014 in Royal Holloway Research Online.Last modified on 03-Jul-2014
7 pages. The most up-to-date version can be found at http://www.probabilityandfinance.com/ (Working Paper 34). That version includes an application to financial markets (in which case our result can be used for insuring against loss of the accumulated capital).