Good randomized sequential probability forecasting is always possible

Building on the game theoretic framework for probability, we show that it is possible, using randomization, to make sequential probability forecasts that will pass any given battery of statistical tests. This result, an easy consequence of von Neumann's minimax theorem, simplifies and generalizes work by earlier researchers. Copyright 2005 Royal Statistical Society.

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Year of publication:	2005
Authors:	Vovk, Vladimir ; Shafer, Glenn
Published in:	Journal of the Royal Statistical Society Series B. - Royal Statistical Society - RSS, ISSN 1369-7412. - Vol. 67.2005, 5, p. 747-763
Publisher:	Royal Statistical Society - RSS

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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