Dutch book in simple multivariate normal prediction: Another look
Probability
2008-12-18 v1
Abstract
In this expository paper we describe a relatively elementary method of establishing the existence of a Dutch book in a simple multivariate normal prediction setting. The method involves deriving a nonstandard predictive distribution that is motivated by invariance. This predictive distribution satisfies an interesting identity which in turn yields an elementary demonstration of the existence of a Dutch book for a variety of possible predictive distributions.
Cite
@article{arxiv.0805.2808,
title = {Dutch book in simple multivariate normal prediction: Another look},
author = {Morris L. Eaton},
journal= {arXiv preprint arXiv:0805.2808},
year = {2008}
}
Comments
Published in at http://dx.doi.org/10.1214/193940307000000356 the IMS Collections (http://www.imstat.org/publications/imscollections.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)