We give an overview of two approaches to probability theory where lower and upper probabilities, rather than probabilities, are used: Walley's behavioural theory of imprecise probabilities, and Shafer and Vovk's game-theoretic account of probability. We show that the two theories are more closely related than would be suspected at first sight, and we establish a correspondence between them that (i) has an interesting interpretation, and (ii) allows us to freely import results from one theory into the other. Our approach leads to an account of immediate prediction in the framework of Walley's theory, and we prove an interesting and quite general version of the weak law of large numbers.
Keywords. Game-theoretic probability, imprecise probabilities, coherence, conglomerability, event tree, lower prevision, immediate prediction, Prequential Principle, law of large numbers, Hoeffding's inequality.
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Authors addresses:
Gert De Cooman
Technologiepark - Zwijnaarde 914
9052 Zwijnaarde
Filip Hermans
Technologiepark-Zwijnaarde 914
9052 ZWIJNAARDE (GENT)
E-mail addresses:
| Gert De Cooman | gert.decooman@ugent.be |
| Filip Hermans | fiher@psb.ugent.be |