On comparison of experts

• 成果类型: Article
• 署名作者: Kavaler, Itay; Smorodinsky, Rann
• 署名单位: Technion Israel Institute of Technology
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2019.08.005
• 发表日期: 2019
• 页码: 94-109
• 关键词: Forecasting; probability; testing

摘要

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 outcomes and (weakly) ranks the two experts. We focus on anonymous and non-counterfactual comparison tests and propose two natural properties to which such a comparison test must adhere. We show that these determine the test in an essentially unique way. The resulting test is a function of the derivative of the induced pair of measures at the realized outcomes. (C) 2019 Elsevier Inc. All rights reserved.