Regular conditional probabilities and strictly proper loss functions

DOI10.1016/J.SPL.2022.109412MaRDI QIDQ2128923zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 22 April 2022

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2022.109412

zbMATH Keywords

expected lossregular conditional probabilitystrict proprietystrictly proper loss functions

Mathematics Subject Classification ID

Probabilistic measure theory (60A10)

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• Improper regular conditional distributions
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• Probability with Martingales
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• The existence of regular conditional probabilities: Necessary and sufficient conditions

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• Measurability of functionals and of ideal point forecasts
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• Updating by maximizing expected accuracy in infinite non-partitional settings

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