The Annals of Statistics

Coherent Predictions are Strategic

Abstract

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 $A \subset X \times Y, Ax = \{y: (x, y) \in A\}, P_0 = \text{marginal of} P \text{on} X.$

Article information

Source
Ann. Statist., Volume 13, Number 3 (1985), 1244-1248.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176349669

Digital Object Identifier
doi:10.1214/aos/1176349669

Mathematical Reviews number (MathSciNet)
MR803771

Zentralblatt MATH identifier
0585.62004

JSTOR
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