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Dutch book in simple multivariate normal prediction: Another look

Morris L. Eaton

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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.

Chapter information

Source
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

Dates
First available in Project Euclid: 7 April 2008

Permanent link to this document
https://projecteuclid.org/euclid.imsc/1207580075

Digital Object Identifier
doi:10.1214/193940307000000356

Mathematical Reviews number (MathSciNet)
MR2459946

Zentralblatt MATH identifier
1166.62312

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

Keywords
Dutch book multivariate normal prediction

Rights
Copyright © 2008, Institute of Mathematical Statistics

Citation

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. https://projecteuclid.org/euclid.imsc/1207580075


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