Minimum scoring rule inference

DOI10.1111/SJOS.12168MaRDI QIDQ2791832zbMATH OpenOpenAlexFDO

Authors Monica Musio, Laura Ventura, A. Philip Dawid

Publication date 16 March 2016

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.3920

zbMATH Keywords

\(B\)-robustness\(M\)-estimatorBregman estimatecomposite scoreGodambe informationpseudo-likelihoodTsallis scoreunbiased estimating equation

Mathematics Subject Classification ID

Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

Abstract: Proper scoring rules are methods for encouraging honest assessment of probability distributions. Just like likelihood, a proper scoring rule can be applied to supply an unbiased estimating equation for any statistical model, and the theory of such equations can be applied to understand the properties of the associated estimator. In this paper we develop some basic scoring rule estimation theory, and explore robustness and interval estimation properties by means of theory and simulations.

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Cited in

(21)

• Robust approximate Bayesian inference
• Asymptotic minimum scoring rule prediction
• Robust estimation of a location parameter with the integrated Hogg function
• Objective Bayesian inference with proper scoring rules
• Theory and applications of proper scoring rules
• Local scale invariance and robustness of proper scoring rules
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