Forecast hedging and calibration

Dean P. Foster, Sergiu Hart

Research output: Contribution to journalArticlepeer-review

10 Scopus citations

Abstract

Calibration means that forecasts and average realized frequencies are close. We develop the concept of forecast hedging, which consists of choosing the forecasts so as to guarantee that the expected track record can only improve. This yields all the calibration results by the same simple basic argument while differentiating between them by the forecast-hedging tools used: deterministic and fixed point based versus stochastic and minimax based. Additional contributions are an improved definition of continuous calibration, ensuing game dynamics that yield Nash equilibria in the long run, and a new calibrated forecasting procedure for binary events that is simpler than all known such procedures.

Original languageEnglish
Pages (from-to)3447-3490
Number of pages44
JournalJournal of Political Economy
Volume129
Issue number12
DOIs
StatePublished - Dec 2021

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