Er-Xun Dai

Explicit Asymptotic Bounds for Sequential Calibration Beyond $T^{2/3}$

Probability forecasts are calibrated when predicted probabilities match empirical outcome frequencies: among events assigned a probability $p$, we'd hope that the fraction of positive outcomes is close to $p$. We study the problem of sequential forecasting of binary outcomes. The classical $O(T^{2/3})$ bound on expecte...