Probabilistic coherence and proper scoring rules

10/16/2007

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We provide 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 appears to be new but is closely related to results achieved by other investigators.

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Probabilistic coherence and proper scoring rules

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Related Research

Scale invariant proper scoring rules Scale dependence: Why the average CRPS often is inappropriate for ranking probabilistic forecasts

Proper Scoring Rules, Gradients, Divergences, and Entropies for Paths and Time Series

Strictly Proper Mechanisms with Cooperating Players

Probabilistic Rainfall Downscaling: Joint Generalized Neural Models with Censored Spatial Gaussian Copula

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Evaluating probabilistic forecasts with the R package scoringRules

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