在博弈论概率中为证据损失投保
统计理论
2010-11-23 v2 概率论
交易与市场微观结构
统计理论
摘要
我们考虑一个博弈论场景：怀疑者通过押注预测来检验预测者的表现。怀疑者的当前资本被解释为他已发现的针对预测者的证据量。报告怀疑者资本迄今为止的最大值会夸大证据。我们刻画了所有能消除这种夸大的递增函数的集合。该结果可用于为证据损失投保。
引用
@article{arxiv.1005.1811,
title = {Insuring against loss of evidence in game-theoretic probability},
author = {A. Philip Dawid and Steven de Rooij and Glenn Shafer and Alexander Shen and Nikolai Vereshchagin and Vladimir Vovk},
journal= {arXiv preprint arXiv:1005.1811},
year = {2010}
}
备注
7 pages. This version (version 2) is identical to version 1 (May 2010). The most up-to-date version can be found at http://www.probabilityandfinance.com/ (Working Paper 34). That version includes an application to financial markets (in which case our result can be used for insuring against loss of the accumulated capital); The Game-Theoretic Probability and Finance Project, Working Paper 34