Journal article
Proper local scoring rules on discrete sample spaces
- Abstract:
-
A scoring rule is a loss function measuring the quality of a quoted probability distribution $Q$ for a random variable $X$, in the light of the realized outcome $x$ of $X$; it is proper if the expected score, under any distribution $P$ for $X$, is minimized by quoting $Q=P$. Using the fact that any differentiable proper scoring rule on a finite sample space ${\mathcal{X}}$ is the gradient of a concave homogeneous function, we consider when such a rule can be local in the sense of depending on...
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- Publication status:
- Published
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Bibliographic Details
- Journal:
- Annals of Statistics
- Volume:
- 40
- Issue:
- 1
- Pages:
- 593-608
- Publication date:
- 2011-04-12
- DOI:
- ISSN:
-
0090-5364
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- Copyright date:
- 2011
- Notes:
-
Published in at http://dx.doi.org/10.1214/12-AOS972 the Annals of
Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical
Statistics (http://www.imstat.org)
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