Optimal Reporting of Predictions
作者:
M.J. Bayarri,
M.H. Degroot,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1989)
卷期:
Volume 84,
issue 405
页码: 214-222
ISSN:0162-1459
年代: 1989
DOI:10.1080/01621459.1989.10478758
出版商: Taylor & Francis Group
关键词: Bayesian updating;Expert opinion;Gaining weight;Linear opinion pool;Strictly proper scoring rules;Subjective probability assessment;Utility functions
数据来源: Taylor
摘要:
Consider a problem in which you and a group of other experts must report your individual predictive distributions for an observable random variableXto some decision maker. Suppose that the report of each expert is assigned a prior weight by the decision maker and that these weights are then updated based on the observed value ofX. In this situation you will try to maximize your updated, or posterior, weight by appropriately choosing the distribution that you report, rather than necessarily simply reporting your honest predictive distribution. We study optimal reporting strategies under various conditions regarding your knowledge and beliefs aboutXand the reports of the other experts, and under various utility functions for your posterior weight. We present the only utility functions for which it is always optimal to report your honest predictive distribution. Attention is restricted to problems in whichXcan take only a finite number of values.
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