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Strategic Learning and its Limits$
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H. Peyton Young

Print publication date: 2004

Print ISBN-13: 9780199269181

Published to Oxford Scholarship Online: October 2011

DOI: 10.1093/acprof:oso/9780199269181.001.0001

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Prediction, Postdiction, and Calibration

Prediction, Postdiction, and Calibration

(p.62) 5 Prediction, Postdiction, and Calibration
Strategic Learning and its Limits

H. Peyton Young

Oxford University Press

This chapter introduces an alternative framework that is borrowed from statistical decision theory and is perhaps less familiar to economists and game theorists. This approach — known as calibration — provides a criterion of predictive performance that does not require any knowledge of the actual mechanism that is generating a stochastic process. It is therefore especially well-suited to complex, nonstationary environments for which we may not have a model that we know to be correct a priori.

Keywords:   calibration, predictive performance, learning, stochastic process

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