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July  2014, 1(3): 497-505. doi: 10.3934/jdg.2014.1.497

A prequential test for exchangeable theories

Alvaro Sandroni 1, and  Eran Shmaya 1,

1. 

Kellogg School of Management, Northwestern University, Evanston, Illinois 60208, United States, United States

Received  August 2012 Revised  March 2013 Published  July 2014

We construct a prequential test of probabilistic forecasts that does not reject correct forecasts when the data-generating processes is exchangeable and is not manipulable by a false forecaster.
Keywords: zero-sum games., merging, Calibration, expert testing, exchangeable processes.
Mathematics Subject Classification: Primary: 62A01; Secondary: 91A4.
Citation: Alvaro Sandroni, Eran Shmaya. A prequential test for exchangeable theories. Journal of Dynamics & Games, 2014, 1 (3) : 497-505. doi: 10.3934/jdg.2014.1.497
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show all references

References:
[1]

Journal of Economic Theory, 145 (2010), 2203-2217. doi: 10.1016/j.jet.2010.07.003.  Google Scholar

[2]

Annals of Mathematical Statistics, 33 (1962), 882-886. doi: 10.1214/aoms/1177704456.  Google Scholar

[3]

Review of Economic Studies, 73 (2006), 893-906. doi: 10.1111/j.1467-937X.2006.00401.x.  Google Scholar

[4]

Journal of the Royal Statistical Society, Series A, 147 (1984), 278-292. doi: 10.2307/2981683.  Google Scholar

[5]

Proceedings of the National Academy of Sciences, 39 (1953), 42-47. doi: 10.1073/pnas.39.1.42.  Google Scholar

[6]

Springer Verlag, 1995. doi: 10.1007/978-1-4612-4190-4.  Google Scholar

[7]

J. Math. Econom., 23 (1994), 73-86. doi: 10.1016/0304-4068(94)90037-X.  Google Scholar

[8]

Games Econom. Behav., 29 (1999), 151-169. doi: 10.1006/game.1998.0608.  Google Scholar

[9]

Journal of Symbolic Logic, 63 (1998), 1565-1581. doi: 10.2307/2586667.  Google Scholar

[10]

in Handbook of Game Theory with Economic Applications (eds. H. Petyon Young and Shmuel Zamir), Vol. IV, North Holland, 2014. Google Scholar

[11]

Econometrica, 76 (2008), 1437-1466. doi: 10.3982/ECTA7428.  Google Scholar

[12]

Mathematics of Operations Research, 34 (2009), 57-70. doi: 10.1287/moor.1080.0347.  Google Scholar

[13]

Annals of Statistics, 37 (2009), 1013-1039. doi: 10.1214/08-AOS597.  Google Scholar

[14]

International Journal of Game Theory, 32 (2003), 151-159. doi: 10.1007/s001820300153.  Google Scholar

[15]

Theoretical Economics, 3 (2008), 367-382. Google Scholar

[16]

Games Econom. Behav., 29 (1999), 274-308. doi: 10.1006/game.1999.0722.  Google Scholar

[17]

Journal of the Royal Statistical Society, Series B, 67 (2005), 747-763. doi: 10.1111/j.1467-9868.2005.00525.x.  Google Scholar

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