Theoretical Economics, Volume 18, Number 4 ( 2023)

Theoretical Economics 18 (2023), 1441–1474

"Calibeating": beating forecasters at their own game

Dean Foster, Sergiu Hart


In order to identify expertise, forecasters should not be tested by their calibration score, which can always be made arbitrarily small, but rather by their Brier score. The Brier score is the sum of the calibration score and the refinement score; the latter measures how good the sorting into bins with the same forecast is, and thus attests to “expertise.” This raises the question of whether one can gain calibration without losing expertise, which we refer to as “calibeating.” We provide an easy way to calibeat any forecast, by a deterministic online procedure. We moreover show that calibeating can be achieved by a stochastic procedure that is itself calibrated, and then extend the results to simultaneously calibeating multiple procedures, and to deterministic procedures that are continuously calibrated.

Keywords: Forecasting, calibration, experts, Brier score, refinement score

JEL classification: C7,D8

Full Text:  PRINT  VIEW