{"title":"预测聚合","authors":"Itai Arieli, Y. Babichenko, Rann Smorodinsky","doi":"10.2139/ssrn.2934104","DOIUrl":null,"url":null,"abstract":"Bayesian experts with a common prior that are exposed to different evidence possibly make contradicting probabilistic forecasts. A policy maker who receives the forecasts must aggregate them in the best way possible. This is a challenge whenever the policy maker is not familiar with the prior nor the model and evidence available to the experts. We propose a model of non-Bayesian forecast aggregation and adapt the notion of regret as a means for evaluating the policy maker's performance. Whenever experts are Blackwell ordered taking a weighted average of the two forecasts, the weight of which is proportional to its precision (the reciprocal of the variance), is optimal. The resulting regret is equal 1/8(5√ 5-11) approx 0.0225425, which is 3 to 4 times better than naive approaches such as choosing one expert at random or taking the non-weighted average.","PeriodicalId":287551,"journal":{"name":"Proceedings of the 2017 ACM Conference on Economics and Computation","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2017-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Forecast Aggregation\",\"authors\":\"Itai Arieli, Y. Babichenko, Rann Smorodinsky\",\"doi\":\"10.2139/ssrn.2934104\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Bayesian experts with a common prior that are exposed to different evidence possibly make contradicting probabilistic forecasts. A policy maker who receives the forecasts must aggregate them in the best way possible. This is a challenge whenever the policy maker is not familiar with the prior nor the model and evidence available to the experts. We propose a model of non-Bayesian forecast aggregation and adapt the notion of regret as a means for evaluating the policy maker's performance. Whenever experts are Blackwell ordered taking a weighted average of the two forecasts, the weight of which is proportional to its precision (the reciprocal of the variance), is optimal. The resulting regret is equal 1/8(5√ 5-11) approx 0.0225425, which is 3 to 4 times better than naive approaches such as choosing one expert at random or taking the non-weighted average.\",\"PeriodicalId\":287551,\"journal\":{\"name\":\"Proceedings of the 2017 ACM Conference on Economics and Computation\",\"volume\":\"1 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2017-03-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Proceedings of the 2017 ACM Conference on Economics and Computation\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2934104\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Proceedings of the 2017 ACM Conference on Economics and Computation","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2934104","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Bayesian experts with a common prior that are exposed to different evidence possibly make contradicting probabilistic forecasts. A policy maker who receives the forecasts must aggregate them in the best way possible. This is a challenge whenever the policy maker is not familiar with the prior nor the model and evidence available to the experts. We propose a model of non-Bayesian forecast aggregation and adapt the notion of regret as a means for evaluating the policy maker's performance. Whenever experts are Blackwell ordered taking a weighted average of the two forecasts, the weight of which is proportional to its precision (the reciprocal of the variance), is optimal. The resulting regret is equal 1/8(5√ 5-11) approx 0.0225425, which is 3 to 4 times better than naive approaches such as choosing one expert at random or taking the non-weighted average.