Forecasting using incomplete models

12 May 2017  ·  Vanessa Kosoy ·

We consider the task of forecasting an infinite sequence of future observations based on some number of past observations, where the probability measure generating the observations is "suspected" to satisfy one or more of a set of incomplete models, i.e. convex sets in the space of probability measures. This setting is in some sense intermediate between the realizable setting where the probability measure comes from some known set of probability measures (which can be addressed using e.g. Bayesian inference) and the unrealizable setting where the probability measure is completely arbitrary. We demonstrate a method of forecasting which guarantees that, whenever the true probability measure satisfies an incomplete model in a given countable set, the forecast converges to the same incomplete model in the (appropriately normalized) Kantorovich-Rubinstein metric. This is analogous to merging of opinions for Bayesian inference, except that convergence in the Kantorovich-Rubinstein metric is weaker than convergence in total variation.

PDF Abstract
No code implementations yet. Submit your code now

Datasets


  Add Datasets introduced or used in this paper

Results from the Paper


  Submit results from this paper to get state-of-the-art GitHub badges and help the community compare results to other papers.

Methods


No methods listed for this paper. Add relevant methods here