A construction principle for proper scoring rules

DOI10.1090/BPROC/98MaRDI QIDQ5164022zbMATH OpenOpenAlexFDO

Authors Jonas R. Brehmer

Publication date 9 November 2021

Published in Proceedings of the American Mathematical Society, Series B (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1090/bproc/98

zbMATH Keywords

probabilistic forecast

Mathematics Subject Classification ID

General considerations in statistical decision theory (62C05) Inference from stochastic processes and prediction (62M20)

Recommendations

• Properization: constructing proper scoring rules via Bayes acts
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Cites work

• Coherent dispersion criteria for optimal experimental design
• Estimation of non-normalized statistical models by score matching
• Information and exponential families in statistical theory
• Local proper scoring rules of order two
• Proper local scoring rules
• Strictly Proper Scoring Rules, Prediction, and Estimation
• The geometry of proper scoring rules
• Theory and applications of proper scoring rules

Cited in

(8)

• Consistency of scoring rules: a reinvestigation of composition-consistency
• Properization: constructing proper scoring rules via Bayes acts
• Minimum scoring rule inference
• An Overview of Applications of Proper Scoring Rules
• Compatible weighted proper scoring rules
• Choosing a strictly proper scoring rule
• A new example for a proper scoring rule
• Comparative evaluation of point process forecasts

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