Prequential Statistics

Prequential statistics was proposed by A. Philip Dawid in his 1984 paper. The fundamental question of prequential statistics is: what does it mean for a forecasting system to be a good substitute for a statistical model? The fundamental question of prequential probability is: what does it mean for a forecasting system to perform well on a sequence of observations?

Perhaps the most important ingredient of prequential statistics is the prequential principle.

Bibliography

• A. P. Dawid. Present position and potential developments: some personal views. Statistical theory. The prequential approach (with discussion). Journal of the Royal Statistical Society A 147:278 - 292, 1984.
• A. P. Dawid. Calibration-based empirical probability (with discussion). Annals of Statistics 13:1251 - 1285, 1985.
• A. P. Dawid. Fisherian inference in likelihood and prequential frames of reference (with discussion). Journal of the Royal Statistical Society B 53:79 - 109, 1991.
• A. P. Dawid and V. G. Vovk. Prequential probability: Principles and properties. Bernoulli 5:125 - 162, 1999.