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Proper Scoring Rules and Bregman Divergence
Bernoulli, 2018 We revisit the mathematical foundations of proper scoring rules (PSRs) and Bregman divergences and present their characteristic properties in a unified theoretical framework. In many situations it is preferable not to generate a PSR directly from its convex entropy on the unit simplex but instead by the sublinear extension of the entropy to the ...
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Coherent Conditional Previsions and Proper Scoring Rules
Communications in Computer and Information Science, 2012In this paper we study the relationship between the notion of coherence for conditional prevision assessments on a family of finite conditional random quantities and the notion of admissibility with respect to bounded strictly proper scoring rules. Our work extends recent results given by the last two authors of this paper on the equivalence between ...
Giuseppe Sanfilippo, Angelo Gilio
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Strictly Proper Scoring Rules, Prediction, and Estimation [PDF]
Journal of the American Statistical Association, 2007 Scoring rules assess the quality of probabilistic forecasts, by assigning a numerical score based on the predictive distribution and on the event or value that materializes. A scoring rule is proper if the forecaster maximizes the expected score for an observation drawn from the distributionF if he or she issues the probabilistic forecast F, rather ...
Tilmann Gneiting, Adrian Raftery
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Proper Scoring Rules for Estimation and Forecast Evaluation
Annual Review of Statistics and Its ApplicationProper scoring rules have been a subject of growing interest in recent years, not only as tools for evaluation of probabilistic forecasts but also as methods for estimating probability distributions. In this article, we review the mathematical foundations of proper scoring rules, including general characterization results and important families of ...
Johanna Ziegel
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Proper Scoring Rules for Fractiles
1996Abstract In this paper we consider the problem of how an expert should be paid when he/she states the information about the distribution of a random quantity in terms of fractiles, and an observation is subsequently taken. The reward, as a function of the stated fractiles and the actual observation, should encourage the expert to be ...
J L Cervera*, J Munoz**
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Proper Scoring Rules and Risk Aversion
SSRN Electronic Journal, 2012The literature on proper scoring rules has mostly studied the case of risk neutral agents. We analytically investigate how risk averse, expected utility maximizing forecasters behave when presented with risk neutral proper scoring rules. If the state variable is binary, risk averse agents shade their reports toward saying that the states are equally ...
Alexander Peysakhovich +1 more
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Incentive contrats and strictly proper scoring rules
Test, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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A proper scoring rule for minimum information bivariate copulas
Journal of Multivariate AnalysiszbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yici Chen, Tomonari Sei
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Assessing diagnostic tests by a strictly proper scoring rule
Statistics in Medicine, 1989AbstractEvaluation of univariate quantitative diagnostic tests by strictly proper scoring rules is considered as an alternative to the traditional error rate measures. In principle, the posterior probability of disease as a function of the test value is estimated from training observations, and subsequently the score is assessed on a set of test ...
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