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Calibrated Forecasts: The Minimax Proof
Calibrated Forecasts: The Minimax Proof
Sergiu Hart
Abstract
We provide a formal writeup of the simple proof (1995) of the exis
tence of calibrated forecasts by the minimax theorem, which moreover
shows
that N^{3} periods suffice to guarantee a calibration error of
at most 1/N.

First version: August 2018

The Hebrew University of Jerusalem, Center for Rationality DP744,
November 2021

Revised: January 2023

David Gale: Mathematical Economist: Essays in Appreciation on his
100th Birthday, Monographs in Mathematical Economics,
M. Ali Khan, Nobusumi Sagara and Alexander Zaslavski
(editors), Springer
(forthcoming)
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© Sergiu Hart