An Analytic Method for Evaluating the Performance of Aggregation Rules for Probability Densities

Daniel J. Epstein Department of Industrial & Systems Engineering Seminar:"An Analytic Method for Evaluating the Performance of Aggregation Rules
for Probability Densities" Stephen C. HoraCollege of Business and Economics, University of Hawaii at HiloABSTRACT: We discuss how infinite sequences of densities with defined properties can be used to evaluate the expected performance of mathematical aggregation rules for elicited densities. The performance of these rules is measured through the average variance, calibration, and average Brier score of the aggregates. General results for the calibration of the arithmetic average of densities from well-calibrated independent experts is given. Arithmetic and geometric aggregation rules are compared using sequences of normal densities. Sequences are developed that exhibit dependence among experts and lack of calibration. The impact of correlation, number of experts, and degree of calibration on the performance of the aggregation is demonstrated using normal densities. TUESDAY, APRIL 28, 2009, RALPH & GOLDY LEWIS HALL (RGL) ROOM 309, 9:30–11:00 AM

Location: Ralph And Goldy Lewis Hall (RGL) - 308

Audiences: Everyone Is Invited

Contact: Georgia Lum