Order-sensitivity and equivariance of scoring functions (Q2414489): Difference between revisions
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Latest revision as of 23:02, 30 July 2024
scientific article
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English | Order-sensitivity and equivariance of scoring functions |
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Statements
Order-sensitivity and equivariance of scoring functions (English)
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17 May 2019
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According to the authors, the general decision-theoretical framework consists of the following four elements: \par $\bullet$ observed realization $\{y_1,\ldots,y_n\}$, $n\geqslant 1$, of a time series $\{Y_t\}_{t\in\mathbb{N}}$, taking values in an observation domain $O$ with a $\sigma$-algebra $\mathcal{O}$, \par $\bullet$ a family $\mathcal{F}$ of probability distributions on $(O,\mathcal{O})$, containing distributions of $Y_t$, \par $\bullet$ forecasts $\{x_1^{(i)},\ldots, x_n^{(i)}\}$, $i\in\{1,\ldots,m\}$, competing forecasters taking values in an action domain $A\subset\mathbb{R}^k$, $k\geqslant 1$, \par $\bullet$ a scoring function $S:A\times O\rightarrow\mathbb{R}$. \par The scoring function is assumed to have the negative meaning. If forecaster reports the quantity $x\in A$ and $y\in O$ appears, is assigned penalty $S(x,y)$. Different forecasts ($i\in\{1,\ldots,m\}$) are compared by values of \textit{realized scores} \[ \overline{S}_n^{(i)}=\sum\limits_{i=1}^{n}S(x_t^{(i)},y_t). \] A forecast is supposed to be better if it's \textit{realized score} $\overline{S}_n$ is lower. \par To give a guidance on the choice of a suitable scoring function, the authors of the paper consider various properties of the scoring functions and introduce new quality criteria for such functions.
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consistency
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decision theory
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elicitability
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equivariance
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homogeneity
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M-estimation
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order-sensitivity
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point forecasts
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scoring functions
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translation invariance
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