neymanAggCalc: Neyman Aggregation (Extremized)

In aggutils: Utilities for Aggregating Probabilistic Forecasts

Neyman Aggregation (Extremized)

Description

Takes the arithmetic mean of the log odds of the forecasts, then extremizes the mean by a factor d, where d is

(n*(sqrt((3n^2) - (3n) + 1) - 2))/(n^2 - n - 1)

where n is the number of forecasts.

Usage

neymanAggCalc(x)

Arguments

x	Vector of forecasts in 0 to 100 range (%)

Value

(numeric) The extremized mean of the vector

References

Neyman, E. and Roughgarden, T. (2021). Are you smarter than a random expert? The robust aggregation of substitutable signals: \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1145/3490486.3538243")}. Also Jaime Sevilla's EAF post “Principled extremizing of aggregated forecasts."

aggutils documentation built on Aug. 23, 2023, 1:09 a.m.