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arXiv · 0805.2808

Dutch book in simple multivariate normal prediction: Another look

Morris L. Eaton
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Abstract

In this expository paper we describe a relatively elementary method of establishing the existence of a Dutch book in a simple multivariate normal prediction setting. The method involves deriving a nonstandard predictive distribution that is motivated by invariance. This predictive distribution satisfies an interesting identity which in turn yields an elementary demonstration of the existence of a Dutch book for a variety of possible predictive distributions.

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Morris L. Eaton. 2008-05-19. Dutch book in simple multivariate normal prediction: Another look. https://doi.org/10.1214/193940307000000356

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