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VOL. 2 | 2008 Dutch book in simple multivariate normal prediction: Another look

Abstract

In this expository paper we describe a relatively elementary method of establishing the existence of a Dutch book in a simple multivariate normal prediction setting. The method involves deriving a nonstandard predictive distribution that is motivated by invariance. This predictive distribution satisfies an interesting identity which in turn yields an elementary demonstration of the existence of a Dutch book for a variety of possible predictive distributions.

Information

Published: 1 January 2008
First available in Project Euclid: 7 April 2008

zbMATH: 1166.62312
MathSciNet: MR2459946

Digital Object Identifier: 10.1214/193940307000000356

Subjects:
Primary: 62H99
Secondary: 62A01

Keywords: Dutch book , multivariate normal , prediction

Rights: Copyright © 2008, Institute of Mathematical Statistics

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