A construction principle for proper scoring rules
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- by Jonas R. Brehmer HTML | PDF
- Proc. Amer. Math. Soc. Ser. B 8 (2021), 297-301
Abstract:
Proper scoring rules enable decision-theoretically principled comparisons of probabilistic forecasts. New scoring rules can be constructed by identifying the predictive distribution with an element of a parametric family and then applying a known scoring rule. We introduce a condition which ensures propriety in this construction and thereby obtain novel proper scoring rules.References
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Additional Information
- Jonas R. Brehmer
- Affiliation: Computational Statistics Group, Heidelberg Institute for Theoretical Studies, Schloss-Wolfsbrunnenweg 35, 69118 Heidelberg, Germany
- MR Author ID: 1343940
- Email: Jonas.Brehmer@h-its.org
- Received by editor(s): February 25, 2021
- Received by editor(s) in revised form: May 17, 2021, and July 23, 2021
- Published electronically: October 12, 2021
- Communicated by: Qi-Man Shao
- © Copyright 2021 by the author under Creative Commons Attribution-Noncommercial 3.0 License (CC BY NC 3.0)
- Journal: Proc. Amer. Math. Soc. Ser. B 8 (2021), 297-301
- MSC (2020): Primary 62C99
- DOI: https://doi.org/10.1090/bproc/98
- MathSciNet review: 4323520