Proper scoring rules and Bregman divergence (Q2405175)

From the author's introduction: ``Proper scoring rules measure the quality of probabilistic forecasts. They can be used as protocols for eliciting private information and as incentives for a forecaster to make truthful predictions. Bregman divergences, on the other hand, originate in convex programming as generalizations of Euclidean metric. The two notions are intimately connected through the fact that they both derive from convex functions known as entropies. The principal objective of the present work is to present and and review the mathematical properties of the two entities in a unified theoretical framework. To that end, we systematically generalize a number of results from the Euclidean setting to the framework of spaces of finite signed measures. In this setting score and Bregman divergences may be identified.'' The author also formalizes the proper affine scoring rules motivating this by proper estimation problems. Finally, he develops the elements of the regularity theory of entropy functions. This allows him to describe under what conditions a general convex function can be identified with the entropy function of a proper scoring rule and whether this association is unique.