Calibrated Forecasts: The Minimax Proof
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A formal write-up of the simple proof (1995) of the existence of calibrated forecasts by the minimax theorem, which moreover shows that N^3 periods suffice to guarantee a 1/N calibration error.
READ FULL TEXTA formal write-up of the simple proof (1995) of the existence of calibrated forecasts by the minimax theorem, which moreover shows that N^3 periods suffice to guarantee a 1/N calibration error.
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