An Easier Way to Calibrate

Abstract

Forecasts are said to be calibrated if the frequency predictions are approximately correct. This is a refinement of an idea first introduced by David Blackwell in 1955. We show that “<i>K</i>-initialized myopic strategies” are approximately calibrated when <i>K</i> is large. These strategies first “initialize” by making each forecast exactly <i>K</i> times, and thereafter play, in each period <i>t</i>, the minmax strategy in a static game.