"Calibeating": Beating Forecasters at Their Own Game

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Tác giả: Dean P Foster, Sergiu Hart

Ngôn ngữ: eng

Ký hiệu phân loại: 551.63 Weather forecasting and forecasts, reporting and reports

Thông tin xuất bản: 2022

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Bộ sưu tập: Metadata

ID: 195731

 Comment: http://www.ma.huji.ac.il/hart/publ.html#calib-beatIn order to identify expertise, forecasters should not be tested by their calibration score, which can always be made arbitrarily small, but rather by their Brier score. The Brier score is the sum of the calibration score and the refinement score
  the latter measures how good the sorting into bins with the same forecast is, and thus attests to "expertise." This raises the question of whether one can gain calibration without losing expertise, which we refer to as "calibeating." We provide an easy way to calibeat any forecast, by a deterministic online procedure. We moreover show that calibeating can be achieved by a stochastic procedure that is itself calibrated, and then extend the results to simultaneously calibeating multiple procedures, and to deterministic procedures that are continuously calibrated.
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