Modelling Agent Forecast Distributions
Journal of the Royal Statistical Society: Series B (Statistical Methodology) · 1992 · Volume 54 · Issue 2
DOI: 10.1111/j.2517-6161.1992.tb01896.x
Abstract
Problems in the analysis and interpretation of uncertain inferences obtained from individuals, oragents, are considered in the context of forecasting a scalar random quantity. Based on new theoretical results presented by West and Crosse, Bayesian updating is developed for cases in which agents' opinions are provided in terms of full forecast distributions (discrete or continuous), or partial summaries such as forecast means and variances. A particular focus is on problems in which partial agent information is communicated in terms of a few summary probabilities or, alternatively, quantiles of the agent's distribution. Example models highlight the key features of the theory and illustrate applications.
Keywords
agent opinion, combination of forecasts, expertise, forecast distributions, quantiles
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