A Subjectivist View of Calibration (Report No. 82-6)

34 Pages Posted: 19 Apr 2010

See all articles by Joseph (Jay) B. Kadane

Joseph (Jay) B. Kadane

Carnegie Mellon University - David A. Tepper School of Business; Carngeie Mellon University

Sarah Lichtenstein

Decision Research

Date Written: 1982

Abstract

Calibration concerns the relationship between subjective probabilities and the long-run frequencies of events. Theorems from the statistical and probability literature are reviewed to discover the conditions under which a coherent Bayesian expects to be calibrated. If the probability assessor knows the outcomes of all previous events when making each assessment, calibration is always expected. However, when such outcome feedback is lacking, the assessor expects to be well calibrated on an exchangeable set of events if and only if all the events in question are viewed as independent. Although this strong condition has not been tested in previous research, we speculate the past findings of pervasive overconfidence are not invalid. Although experimental studies of calibration hold promise for the development of cognitive theories of confidence, their value for the practice of probability assessment seems more limited. Efforts to train probability assessors to be calibrated may be misplaced.

Suggested Citation

Kadane, Joseph (Jay) B. and Kadane, Joseph (Jay) B. and Lichtenstein, Sarah, A Subjectivist View of Calibration (Report No. 82-6) (1982). Available at SSRN: https://ssrn.com/abstract=1592468 or http://dx.doi.org/10.2139/ssrn.1592468

Joseph (Jay) B. Kadane (Contact Author)

Carnegie Mellon University - David A. Tepper School of Business ( email )

5000 Forbes Avenue
Pittsburgh, PA 15213-3890
United States

Carngeie Mellon University ( email )

Department of Statistics
Pittsburgh, PA 15213-3890
United States

Sarah Lichtenstein

Decision Research ( email )

1201 Oak Street, Suite 200
Eugene, OR 97401
United States

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