Prequential probability: game-theoretic = measure theoretic

Vovk, Vladimir

(2009)

Vovk, Vladimir (2009) Prequential probability: game-theoretic = measure theoretic.

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Abstract

This article continues study of the prequential framework for evaluating aprobability forecaster. Testing the hypothesis that the sequence of forecasts issued by the forecaster is in agreement with the observed outcomes can be done using prequential notions of probability. It turns out that there are two natural notions of probability in the prequential framework: game-theoretic, whose idea goes back to von Mises and Ville, and measure-theoretic, whose idea goes back to Kolmogorov. The main result of this article is that, in the caseof predicting binary outcomes, the two notions of probability in fact coincide on the analytic sets (in particular, on the Borel sets).

Information about this Version

This is a Submitted version
This version's date is: 11/5/2009
This item is not peer reviewed

Link to this Version

https://repository.royalholloway.ac.uk/items/ddb4239d-0bd6-76cb-2081-41218640f919/2/

Item TypeMonograph (Working Paper)
TitlePrequential probability: game-theoretic = measure theoretic
AuthorsVovk, Vladimir
Uncontrolled Keywordsmath.ST, stat.TH
DepartmentsFaculty of Science\Computer Science

Identifiers

Deposited by Research Information System (atira) on 24-Jul-2012 in Royal Holloway Research Online.Last modified on 24-Jul-2012

Notes

16 pages


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