On comparison of experts

descriptionPublicationkeyboard_double_arrow_right Article , Preprint , Other literature type 01 Jan 2017Embargo end date: 01 Jan 2017 English Publisher:Elsevier BVJournal:Games and Economic Behavior, volume 118, pages 94-109 (issn: 0899-8256,

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Authors: Itay Kavaler; Rann Smorodinsky;

doi: 10.1016/j.geb.2019.08.005 , 10.2139/ssrn.3288814 , 10.2139/ssrn.3046674 , 10.48550/arxiv.1710.09461

arXiv: 1710.09461

On comparison of experts

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Abstract

A policy maker faces a sequence of unknown outcomes. At each stage two (self-proclaimed) experts provide probabilistic forecasts on the outcome in the next stage. A comparison test is a protocol for the policy maker to (eventually) decide which of the two experts is better informed. The protocol takes as input the sequence of pairs of forecasts and actual realizations and (weakly) ranks the two experts. We propose two natural properties that such a comparison test must adhere to and show that these essentially uniquely determine the comparison test. This test is a function of the derivative of the induced pair of measures at the realization.

Journal title: Games and Economic Behavior. Article accepted for publication: 19-AUG-2019

Related Organizations

Technion – Israel Institute of Technology
Israel

Keywords

FOS: Computer and information sciences, probability, forecasting, Mathematics - Statistics Theory, Statistics Theory (math.ST), testing, Inference from stochastic processes and prediction, Methodology (stat.ME), Computer Science - Computer Science and Game Theory, FOS: Mathematics, Statistical methods; economic indices and measures, Prediction theory (aspects of stochastic processes), Statistics - Methodology, Computer Science and Game Theory (cs.GT)

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