Coherent Predictions are Strategic
Lane, David A. ; Sudderth, William D.
Ann. Statist., Tome 13 (1985) no. 1, p. 1244-1248 / Harvested from Project Euclid
Two random quantities $x$ and $y$, taking values in sets $X$ and $Y$, are to be observed sequentially. A predicter (bookie) posts odds on $(x, y)$ and on $y$ given $x$ according to functions $P$ and $q(x)$, respectively. The predicter is coherent (the bookie can avoid a sure loss) if and only if $P$ is a finitely additive probability distribution on $X \times Y$ and $q$ satisfies a general law of total probability: $P(A) = \int q(x)(Ax)P_0(dx)$ for $A \subset X \times Y, Ax = \{y: (x, y) \in A\}, P_0 = \text{marginal of} P \text{on} X.$
Publié le : 1985-09-14
Classification:  Coherence,  strategic measures,  conglomerable measures,  finite additivity,  prediction,  62A15,  60A05
@article{1176349669,
     author = {Lane, David A. and Sudderth, William D.},
     title = {Coherent Predictions are Strategic},
     journal = {Ann. Statist.},
     volume = {13},
     number = {1},
     year = {1985},
     pages = { 1244-1248},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176349669}
}
Lane, David A.; Sudderth, William D. Coherent Predictions are Strategic. Ann. Statist., Tome 13 (1985) no. 1, pp.  1244-1248. http://gdmltest.u-ga.fr/item/1176349669/