• DocumentCode
    1369978
  • Title

    Probabilistic Coherence and Proper Scoring Rules

  • Author

    Predd, Joel B. ; Seiringer, Robert ; Lieb, Elliott H. ; Osherson, Daniel N. ; Poor, H. Vincent ; Kulkarni, Sanjeev R.

  • Author_Institution
    RAND Corp., Pittsburgh, PA, USA
  • Volume
    55
  • Issue
    10
  • fYear
    2009
  • Firstpage
    4786
  • Lastpage
    4792
  • Abstract
    This paper provides self-contained proof of a theorem relating probabilistic coherence of forecasts to their non-domination by rival forecasts with respect to any proper scoring rule. The theorem recapitulates insights achieved by other investigators, and clarifies the connection of coherence and proper scoring rules to Bregman divergence.
  • Keywords
    forecasting theory; probability; Bregman divergence; probabilistic forecast coherence; scoring rule; Calculus; Contracts; Mathematics; Pattern recognition; Physics; Probability; Psychology; Statistical learning; Coherence; probability; scoring rule;
  • fLanguage
    English
  • Journal_Title
    Information Theory, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9448
  • Type

    jour

  • DOI
    10.1109/TIT.2009.2027573
  • Filename
    5238758
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1369978