Journal article
Proper local scoring rules
- Abstract:
-
We investigate proper scoring rules for continuous distributions on the real line. It is known that the log score is the only such rule that depends on the quoted density only through its value at the outcome that materializes. Here we allow further dependence on a finite number $m$ of derivatives of the density at the outcome, and describe a large class of such $m$-local proper scoring rules: these exist for all even $m$ but no odd $m$. We further show that for $m\geq2$ all such $m$-local ru...
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- Publication status:
- Published
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Bibliographic Details
- Journal:
- Annals of Statistics
- Volume:
- 40
- Issue:
- 1
- Pages:
- 561-592
- Publication date:
- 2011-01-26
- DOI:
- ISSN:
-
0090-5364
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- Copyright date:
- 2011
- Notes:
-
Published in at http://dx.doi.org/10.1214/12-AOS971 the Annals of
Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical
Statistics (http://www.imstat.org)
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