Proper local scoring rules on discrete sample spaces

DOI10.1214/12-AOS972MaRDI QIDQ450050zbMATH OpenWikidataFDO

Authors A. Philip Dawid, Steffen Lauritzen, Matthew Parry

Publication date 3 September 2012

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.2224, https://projecteuclid.org/euclid.aos/1336396184

zbMATH Keywords

entropyconcavityEuler's theoremhomogeneous functionSsupergradient

Mathematics Subject Classification ID

Applications of graph theory (05C90) Statistical decision theory (62C99)

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 $mathcalX$ is the gradient of a concave homogeneous function, we consider when such a rule can be local in the sense of depending only on the probabilities quoted for points in a nominated neighborhood of $x$. Under mild conditions, we characterize such a proper local scoring rule in terms of a collection of homogeneous functions on the cliques of an undirected graph on the space $mathcalX$. A useful property of such rules is that the quoted distribution $Q$ need only be known up to a scale factor. Examples of the use of such scoring rules include Besag's pseudo-likelihood and Hyv"{a}rinen's method of ratio matching.

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Cited in

(20)

• A Novel Parameter Estimation Method for Boltzmann Machines
• Extensive scoring rules
• Estimation of spatial processes using local scoring rules: spatial special issue
• Local proper scoring rules of order two
• Proper local scoring rules
• Weighted Scoring Rules and Convex Risk Measures
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• The uniqueness of local proper scoring rules: the logarithmic family
• A note on the use of empirical AUC for evaluating probabilistic forecasts
• Bayesian experimental design without posterior calculations: an adversarial approach

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