The well-calibrated Bayesian [pdf] (1982)(fitelson.org) |
The well-calibrated Bayesian [pdf] (1982)(fitelson.org) |
A calibrated forecast means that if you say there is a 20% chance of rain, then it actually rains 20% of the time. It’s a desired feature, but not the only one (e.g. you could be calibrated by stating: Chick-fil-A is open every day except Monday, but your forecast will always be wrong on Sunday and Monday).
So if
1. you are Bayesian (you state your beliefs)
2. and coherent (the laws of probability apply, so e.g. if P(A) = 0.4, then P(not A) cannot be anything other than 0.6):
and you are predicting something (e.g rain tomorrow), then if you believe it will rain with probability 0.7 but you are 80% sure of your belief, you won’t say 0.7; you will say something else: 0.8 × 0.7 + 0.2 × something_you_believe = 0.58. Coherence forces you to collapse your uncertainty into your probability at each forecast.
This theorem shows that, over many forecasts, in your belief system you are certain to be producing a calibrated forecast: your current beliefs assign probability 1 to the proposition that your future forecasts will be calibrated.
But that can’t be, which is the paradox. So Bayesianism is too strong compared to how scientists reason, because scientists always think their model can have an error.
A Bayesian does not give you a probability estimate they give you a probability distribution for the probability!
Like in Star Trek Spock is always saying something like "Captain, we have a 15.31% chance of surviving this mission" which is a ridiculous example of precision without accuracy. [1]
If you observe a coin flipped 100 times and it came up heads 65 times it is not a crazy point estimate to say it has a 65% chance of coming up heads but this is just one sample and if you did it another time maybe it comes up 61 or 68 times. You are better saying that the probability distribution of the probability is β(65,35) or maybe β(65.5,35.5) or β(66,36) since that has the "error bars" built in, can be updated if you get more samples, etc.
[1] ... and you know he underestimates survival probabilities the same way Scotty overestimates how long it will take to fix the engines
So everything in the paper is distribution and when you forecast for a binary event, you give a number which is the expectation of that distribution. This is a probabilistic forecast.
If you were to give a probabilistic forecast for a continuous quantity, then yes you would give in a distribution, as in section 4.2
NOT SPOCK!!!