Title: "Probability Aggregation Under Equal Expected Accuracy"
Abstract:
A (binary) pooling function takes the probabilistic forecasts of two
experts and returns an aggregated probability. We introduce the property
of Equal-Expected-Accuracy (EEA) explainability, which is satisfied by
pooling functions that treat the two experts as having equal expected
accuracy under some scoring rule. EEA-explainable pooling functions
provide a natural way of (1) formalizing the concept of epistemic
peerhood from the philosophical literature on disagreement, and (2)
designing scoring rules for paying forecasters fairly given the
aggregated probability.
We prove two characterization theorems
showing that EEA-explainable pooling functions can be expressed in terms
of their associated scoring rules. These theorems imply that, under
EEA-explainability, forecast aggregation among epistemic peers reduces
to the problem of finding the scoring rules that best capture forecast
accuracy in the relevant setting. We also establish a dual result
showing how scoring rules can be expressed in terms of their associated
pooling functions. This theorem yields a recipe for constructing scoring
rules that pay forecasters fairly given the aggregated probability.
Finally,
we explore the implications of EEA-explainability for the most commonly
used pooling functions. In particular, we show that (a) linear pooling
is uniquely EEA-explainable with respect to quadratic scoring rules, (b)
geometric pooling is uniquely EEA-explainable with respect to a novel
class of scoring rules based on the square root of the odds, and (c)
multiplicative pooling is not EEA-explainable. Moreover, we show that
EEA-explainability with respect to the standard logarithmic and
spherical scoring rules yields novel pooling functions that have not
been discussed in prior literature.
To obtain the Zoom link, please subscribe to the Seminar Mailing List, or contact one of the organisers.
Reminder: On the seminar website
you can find the video recordings, slides and supplementary materials
for all past presentations, as well as information about future
presentations.