Model selection with Gini indices under auto-calibration

07/28/2022

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by   Mario V. Wüthrich, et al.

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The Gini index does not give a strictly consistent scoring rule in general. Therefore, maximizing the Gini index may lead to wrong decisions. The main issue is that the Gini index is a rank-based score that is not calibration-sensitive. We show that the Gini index allows for strictly consistent scoring if we restrict to the class of auto-calibrated regression models.