A NONMANIPULABLE TEST

• 成果类型: Article
• 署名作者: Olszewski, Wojciech; Sandroni, Alvaro
• 署名单位: Northwestern University; University of Pennsylvania; Northwestern University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/08-AOS597
• 发表日期: 2009
• 页码: 1013-1039
• 关键词: Calibration

摘要

A test is said to control for type I error if it is unlikely to reject the data-generating process. However, if it is possible to produce stochastic processes at random such that, for all possible future realizations of the data, the selected process is unlikely to be rejected, then the test is said to be manipulable. So, a manipulable test has essentially no capacity to reject a strategic expert. Many tests proposed in the existing literature, including calibration tests, control for type I error but are manipulable. We construct a test that controls for type I error and is nonmanipulable.