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Dean Foster: Calibration: From bankruptcy to winning games

Abstract: I will describe what calibration is by using an example of predicting bankruptcy to motivate its importance. We'll then see that this idea can be used in time series to improved the quality of predictions. The ease with which this can be done mathematically contrasts with how un-calibrated human can be at times. We will then turn to some theorems about existance of calibrated forecasts. These will be used to make forecasts for games in a fictitious like setting. Convergence to correlated equilibrium will be assured.