Probability Aggregation in Time-Series: Dynamic Hierarchical Modeling of Sparse Expert Beliefs

Loading...
Thumbnail Image
Penn collection
Management Papers
Degree type
Discipline
Subject
Management Sciences and Quantitative Methods
Funder
Grant number
License
Copyright date
Distributor
Related resources
Author
Satopää, Ville Antton
Jensen, Shane T.
Mellers, Barbara A
Tetlock, Philip E
Ungar, Lyle
Contributor
Abstract

Most subjective probability aggregation procedures use a single probability judgment from each expert, even though it is common for experts studying real problems to update their probability estimates over time. This paper advances into unexplored areas of probability aggregation by considering a dynamic context in which experts can update their beliefs at random intervals. The updates occur very infrequently, resulting in a sparse data set that cannot be modeled by standard time-series procedures. In response to the lack of appropriate methodology, this paper presents a hierarchical model that takes into account the expert’s level of self-reported expertise and produces aggregate probabilities that are sharp and well calibrated both in- and outof-sample. The model is demonstrated on a real-world data set that includes over 2300 experts making multiple probability forecasts over two years on different subsets of 166 international political events.

Advisor
Date Range for Data Collection (Start Date)
Date Range for Data Collection (End Date)
Digital Object Identifier
Series name and number
Publication date
2014-01-01
Journal title
The Annals of Applied Statistics
Volume number
Issue number
Publisher
Publisher DOI
Journal Issue
Comments
Recommended citation
Collection