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Dutch book in simple multivariate normal prediction: Another look

Morris L. Eaton

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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.

Chapter information

Deborah Nolan and Terry Speed, eds., Probability and Statistics: Essays in Honor of David A. Freedman (Beachwood, Ohio, USA: Institute of Mathematical Statistics, 2008), 12-23

First available in Project Euclid: 7 April 2008

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Zentralblatt MATH identifier

Primary: 62H99: None of the above, but in this section
Secondary: 62A01: Foundations and philosophical topics

Dutch book multivariate normal prediction

Copyright © 2008, Institute of Mathematical Statistics


Eaton, Morris L. Dutch book in simple multivariate normal prediction: Another look. Probability and Statistics: Essays in Honor of David A. Freedman, 12--23, Institute of Mathematical Statistics, Beachwood, Ohio, USA, 2008. doi:10.1214/193940307000000356.

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