Robust Forecast Aggregation
Economics
2018-02-13 v3
Abstract
Bayesian experts who are exposed to different evidence often make contradictory probabilistic forecasts. An aggregator, ignorant of the underlying model, uses this to calculate her own forecast. We use the notions of scoring rules and regret to propose a natural way to evaluate an aggregation scheme. We focus on a binary state space and construct low regret aggregation schemes whenever there are only two experts which are either Blackwell-ordered or receive conditionally i.i.d. signals. In contrast, if there are many experts with conditionally i.i.d. signals, then no scheme performs (asymptotically) better than a forecast.
Keywords
Cite
@article{arxiv.1710.02838,
title = {Robust Forecast Aggregation},
author = {Itai Areili and Yakov Babichenko and Rann Smorodinsky},
journal= {arXiv preprint arXiv:1710.02838},
year = {2018}
}