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Insuring against loss of evidence in game-theoretic probability

Author

Listed:
  • A. Philip Dawid
  • Steven de Rooij
  • Glenn Shafer
  • Alexander Shen
  • Nikolai Vereshchagin
  • Vladimir Vovk

Abstract

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.

Suggested Citation

  • A. Philip Dawid & Steven de Rooij & Glenn Shafer & Alexander Shen & Nikolai Vereshchagin & Vladimir Vovk, 2010. "Insuring against loss of evidence in game-theoretic probability," Papers 1005.1811, arXiv.org, revised Oct 2010.
    • Handle: RePEc:arx:papers:1005.1811
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    File URL: http://arxiv.org/pdf/1005.1811
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