Asymptotic minimum scoring rule prediction

DOI10.1214/18-EJS1454MaRDI QIDQ1657960zbMATH OpenWikidataFDO

Authors Federica Giummolè, Valentina Mameli

Publication date 14 August 2018

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

Full work available at URL https://projecteuclid.org/euclid.ejs/1532484334

zbMATH Keywords

Kullback-Leibler divergenceFisher metricscoring rulepredictive density\(\alpha \)-connectionmonotone and regular divergenceweighted scoring rule

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25)

Recommendations

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• Possible generalization of Boltzmann-Gibbs statistics.
• Prediction and asymptotics
• Predictive fit for natural exponential families
• Predictive likelihood: A review. With comments and a rejoinder by the author
• Robust prediction limits based on \(\mathbf M\)-estimators
• Scoring Rules, Generalized Entropy, and Utility Maximization
• Strictly Proper Scoring Rules, Prediction, and Estimation
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• (h,)-entropy differential metric

Cited in

(1)

• Affine invariant divergences associated with proper composite scoring rules and their applications

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