Proper local scoring rules
We investigate proper scoring rules for continuous distributions on the real line. It is known that the log score is the only such rule that depends on the quoted density only through its value at the outcome that materializes. Here we allow further dependence on a finite number $m$ of derivatives o...
| المؤلفون الرئيسيون: | , , |
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| التنسيق: | Journal article |
| اللغة: | English |
| منشور في: |
2011
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| _version_ | 1826281814173417472 |
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| author | Parry, M Dawid, A Lauritzen, S |
| author_facet | Parry, M Dawid, A Lauritzen, S |
| author_sort | Parry, M |
| collection | OXFORD |
| description | We investigate proper scoring rules for continuous distributions on the real line. It is known that the log score is the only such rule that depends on the quoted density only through its value at the outcome that materializes. Here we allow further dependence on a finite number $m$ of derivatives of the density at the outcome, and describe a large class of such $m$-local proper scoring rules: these exist for all even $m$ but no odd $m$. We further show that for $m\geq2$ all such $m$-local rules can be computed without knowledge of the normalizing constant of the distribution. |
| first_indexed | 2024-03-07T00:34:27Z |
| format | Journal article |
| id | oxford-uuid:80e9c2eb-c802-4240-841b-1e8cde1b5e41 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T00:34:27Z |
| publishDate | 2011 |
| record_format | dspace |
| spelling | oxford-uuid:80e9c2eb-c802-4240-841b-1e8cde1b5e412022-03-26T21:26:39ZProper local scoring rulesJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:80e9c2eb-c802-4240-841b-1e8cde1b5e41EnglishSymplectic Elements at Oxford2011Parry, MDawid, ALauritzen, SWe investigate proper scoring rules for continuous distributions on the real line. It is known that the log score is the only such rule that depends on the quoted density only through its value at the outcome that materializes. Here we allow further dependence on a finite number $m$ of derivatives of the density at the outcome, and describe a large class of such $m$-local proper scoring rules: these exist for all even $m$ but no odd $m$. We further show that for $m\geq2$ all such $m$-local rules can be computed without knowledge of the normalizing constant of the distribution. |
| spellingShingle | Parry, M Dawid, A Lauritzen, S Proper local scoring rules |
| title | Proper local scoring rules |
| title_full | Proper local scoring rules |
| title_fullStr | Proper local scoring rules |
| title_full_unstemmed | Proper local scoring rules |
| title_short | Proper local scoring rules |
| title_sort | proper local scoring rules |
| work_keys_str_mv | AT parrym properlocalscoringrules AT dawida properlocalscoringrules AT lauritzens properlocalscoringrules |