We have the election estimate F a function of a state variable W, a Wiener process WLOG
That doesn’t look like a reasonable starting point to me.
That’s fine actually, if you assume your forecasts are continuous in time, then they’re continuous martingales and thus equivalent to some time-changed Wiener process. (EDIT: your forecasts need not be continuous, my bad.) The problem is that he doesn’t take into the time transformation when he claims that you need to weight your signal by 1/sqrt(t).
He also has a typo in his statement of Ito’s Lemma which might affect his derivation. I’ll check his math later.
That’s fine actually, if you assume your forecasts are continuous in time, then they’re continuous martingales and thus equivalent to some time-changed Wiener process. (EDIT: your forecasts need not be continuous, my bad.) The problem is that he doesn’t take into the time transformation when he claims that you need to weight your signal by 1/sqrt(t).
He also has a typo in his statement of Ito’s Lemma which might affect his derivation. I’ll check his math later.