Vovk, Vladimir, Takemura, Akimichi and Shafer, Glenn (2005) Defensive forecasting.
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We consider how to make probability forecasts of binary labels. Our main mathematical result is that for any continuous gambling strategy used for detecting disagreement between the forecasts and the actual labels, there exists a forecasting strategy whose forecasts are ideal as far as this gambling strategy is concerned. A forecasting strategy obtained in this way from a gambling strategy demonstrating a strong law of large numbers is simplified and studied empirically.
This is a Submitted version This version's date is: 30/5/2005 This item is not peer reviewed
https://repository.royalholloway.ac.uk/items/7e8c541c-f15f-46d4-03fd-b6106043f45d/4/
Deposited by Research Information System (atira) on 03-Jul-2014 in Royal Holloway Research Online.Last modified on 03-Jul-2014
15 pages, 2 figures, also published in AIStats'2005 electronic proceedings