Forecasting Competitions with Correlated Events
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Beginning with Witkowski et al. [2022], recent work on forecasting competitions has addressed incentive problems with the common winner-take-all mechanism. Frongillo et al. [2021] propose a competition mechanism based on follow-the-regularized-leader (FTRL), an online learning framework. They show that their mechanism selects an ϵ-optimal forecaster with high probability using only O(log(n)/ϵ^2) events. These works, together with all prior work on this problem thus far, assume that events are independent. We initiate the study of forecasting competitions for correlated events. To quantify correlation, we introduce a notion of block correlation, which allows each event to be strongly correlated with up to b others. We show that under distributions with this correlation, the FTRL mechanism retains its ϵ-optimal guarantee using O(b^2 log(n)/ϵ^2) events. Our proof involves a novel concentration bound for correlated random variables which may be of broader interest.
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