In settings ranging from weather forecasts to political prognostications to financial projections, probability estimates of future binary outcomes often evolve over time. For example, the estimated likelihood of rain on a specific day changes by the hour as new information becomes available. Given a collection of such probability paths, we introduce a Bayesian framework -- which we call the Gaussian latent information martingale, or GLIM -- for modeling the structure of dynamic predictions over time. Suppose, for example, that the likelihood of rain in a week is 50 %, and consider two hypothetical scenarios. In the first, one expects the forecast to be equally likely to become either 25 % or 75 % tomorrow; in the second, one expects the forecast to stay constant for the next several days. A time-sensitive decision-maker might select a course of action immediately in the latter scenario, but may postpone their decision in the former, knowing that new information is imminent. We model these trajectories by assuming predictions update according to a latent process of information flow, which is inferred from historical data. In contrast to general methods for time series analysis, this approach preserves important properties of probability paths such as the martingale structure and appropriate amount of volatility and better quantifies future uncertainties around probability paths. We show that GLIM outperforms three popular baseline methods, producing better estimated posterior probability path distributions measured by three different metrics. By elucidating the dynamic structure of predictions over time, we hope to help individuals make more informed choices.
翻译:在从天气预报到政治预测到财务预测等各种环境中,未来二进结果的概率估计往往会随着时间的变化而变化。例如,随着新的信息出现,预测在某一天发生降雨的可能性在某一天发生变化时按小时估计。鉴于这种概率路径的收集,我们引入了一种巴伊西亚框架 -- -- 我们称之为高萨潜伏信息martingale,或GLIM -- -- 用来模拟一段时间内动态预测的结构。例如,假设一周内降雨的可能性为50 %,并考虑两种假设情景。在第一个假设情景中,预测同样有可能在明天成为25 % 或 75 % ;在第二个假设中,预计未来几天内会保持不变。一个时间敏感的决策者可能会在后一种情景中立即选择行动路线,但可能推迟他们在前者中的决定,知道新的信息即将到来。我们将这些轨迹模型模型通过假设根据潜在信息流的预测进行更新,从历史数据中推断出两种假设。与一般时间序列分析相比,这一方法将在未来几天内保持更稳定的概率结构。我们通过适当的时间序列分析,这个方法将更准确地估计GIM的概率度的概率度结构,从而显示更精确的概率判断。