Local proper scoring rules of order two
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Publication:450053
DOI10.1214/12-AOS973zbMATH Open1246.86013arXiv1102.5031OpenAlexW3100965190MaRDI QIDQ450053FDOQ450053
Authors: Werner Ehm, Tilmann Gneiting 
Publication date: 3 September 2012
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: Scoring rules assess the quality of probabilistic forecasts, by assigning a numerical score based on the predictive distribution and on the event or value that materializes. A scoring rule is proper if it encourages truthful reporting. It is local of order if the score depends on the predictive density only through its value and the values of its derivatives of order up to at the realizing event. Complementing fundamental recent work by Parry, Dawid and Lauritzen, we characterize the local proper scoring rules of order 2 relative to a broad class of Lebesgue densities on the real line, using a different approach. In a data example, we use local and nonlocal proper scoring rules to assess statistically postprocessed ensemble weather forecasts.
Full work available at URL: https://arxiv.org/abs/1102.5031
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Cited In (20)
- Extensive scoring rules
- Local proper scoring rules of order two
- Proper local scoring rules
- Proper local scoring rules on discrete sample spaces
- Bootstrap adjustments of signed scoring rule root statistics
- The Hyvärinen scoring rule in Gaussian linear time series models
- Scoring rules for statistical models on spheres
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