On calibration error of randomized forecasting algorithms

  • Authors:
  • Vladimir V. Vyugin

  • Affiliations:
  • Institute for Information Transmission Problems, Russian Academy of Sciences, Bolshoi Karetnyi per. 19, Moscow GSP-4, 127994, Russia

  • Venue:
  • Theoretical Computer Science
  • Year:
  • 2009

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Abstract

It has been recently shown that calibration with an error less than @D0 is almost surely guaranteed with a randomized forecasting algorithm, where forecasts are obtained by random rounding the deterministic forecasts up to @D. We show that this error cannot be improved for a vast majority of sequences: we prove that, using a probabilistic algorithm, we can effectively generate with probability close to one a sequence ''resistant'' to any randomized rounding forecasting with an error much smaller than @D. We also reformulate this result by means of a probabilistic game.