Good Randomized Sequential Probability Forecasting is Always Possible
Vladimir Vovk, Glenn R. Shafer · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2005
Summary Building on the game theoretic framework for probability, we show that it is possible, using randomization, to make sequential probability forecasts that will pass any given battery of statistical tests. This result, an easy consequence of von Neumann's minimax theorem, simplifies and generalizes work by earlier researchers.