Strictly Proper Scoring Rules, Prediction, and Estimation
Abstract
Scoring rules assess the quality of probabilistic forecasts, by assigning a numerical score based on the forecast and on the event or value that materializes. This paper reviews and develops the theory of proper scoring rules on general probability spaces, and proposes and discusses examples thereof. Proper scoring rules derive from convex functions and relate to information measures, entropy functions and Bregman divergences. In the case of categorical variables, we prove a rigorous version of the Savage representation. The continuous ranked probability score applies to probabilistic forecasts that take the form of predictive cumulative distribution functions. It generalizes the absolute error and forms a special case of a new and very general type of score, the energy score. The energy score admits a representation in terms of negative definite functions, with links to inequalities of Hoe ding type, in both univariate and multivariate settings. Proper scoring rules for quantile and interval forecasts are also discussed. We relate proper scoring rules to Bayes factors and to cross-validation, and propose a novel form of cross-validation, random-fold cross-validated likelihood.
Document Details
- Document Type
- Technical Report
- Publication Date
- Nov 01, 2005
- Accession Number
- ADA454828
Entities
People
- Adrian Raftery
- Tilmann Gneiting
Organizations
- University of Washington