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The Complexity of Forecast Testing
2009
Econometrica
Consider a weather forecaster predicting a probability of rain for the next day. We consider tests that given a finite sequence of forecast predictions and outcomes will either pass or fail the forecaster. Sandroni (2003) shows that any test which passes a forecaster who knows the distribution of nature, can be probabilistically passed by a forecaster with no knowledge of future events. We look at the computational complexity of such forecasters and exhibit a linear-time test and a distribution
doi:10.3982/ecta7163
fatcat:ignd4cxs5jbqvj7qvouj2qt4ka