Statistics Papers

Document Type

Conference Paper

Date of this Version

2011

Publication Source

JMLR: Workshop and Conference Proceedings

Volume

19

Start Page

293

Last Page

314

Abstract

We consider the problem of forecasting a sequence of outcomes from an unknown source. The quality of the forecaster is measured by a family of checking rules. We prove upper bounds on the value of the associated game, thus certifying the existence of a calibrated strategy for the forecaster. We show that complexity of the family of checking rules can be captured by the notion of a sequential cover introduced in [19]. Various natural assumptions on the class of checking rules are considered, including finiteness of Vapnik-Chervonenkis and Littlestone's dimensions.

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Date Posted: 27 November 2017

This document has been peer reviewed.