Work

Proper Scoring Rules for Estimation and Forecast Evaluation

Year: 2025

Type: review

Abstract: Proper scoring rules have been a subject of growing interest in recent years, not only as tools for evaluation of probabilistic forecasts but also as methods for estimating probability distributions. In this article, we review the mathematical foundations of proper scoring rules, including general characterization results and important families of scoring rules. We discuss their role in statistics and machine learning for estimation and forecast evaluation. Furthermore, we comment on interesting developments of their usage in applications.

Source: Annual Review of Statistics and Its Application

DOI: 10.1146/annurev-statistics-042424-050626

Authors: Kartik Waghmare, Johanna Ziegel

Institutions: ETH Zurich, Seminar for Statistics

Language: English

Topic: Forecasting Techniques and Applications

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: hybrid

OpenAlex ID: W4416184655

FWCI: 1.516

Cites: 55

Cited by: 8

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