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Section: New Results

Calibrated forecasts

Participant : Gilles Stoltz.

In [16] Gilles Stoltz and his co-author provided yet another proof of the existence of calibrated forecasters, with two merits. First, it is valid for an arbitrary finite number of outcomes. Second, it is short and simple and it follows from a direct application of Blackwell's approachability theorem to carefully chosen vector-valued payoff function and convex target set. The proof captures the essence of existing proofs based on approachability (e.g., the proof by Foster in case of binary outcomes) and highlights the intrinsic connection between approachability and calibration. Finally, it leads to the first convergence rates results known in the literature.


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