Work

Probabilistic Coherence and Proper Scoring Rules

Year: 2009

Type: article

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.

Source: IEEE Transactions on Information Theory

DOI: 10.1109/tit.2009.2027573

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

Institutions: RAND Corporation, Princeton University

Language: English

Topic: Forecasting Techniques and Applications

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2136232998

FWCI: 7.227

Cites: 14

Cited by: 157

Related to: 10