Title :
Probabilistic Coherence and Proper Scoring Rules
Author :
Predd, Joel B. ; Seiringer, Robert ; Lieb, Elliott H. ; Osherson, Daniel N. ; Poor, H. Vincent ; Kulkarni, Sanjeev R.
Author_Institution :
RAND Corp., Pittsburgh, PA, USA
Abstract :
This paper provides 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 recapitulates insights achieved by other investigators, and clarifies the connection of coherence and proper scoring rules to Bregman divergence.
Keywords :
forecasting theory; probability; Bregman divergence; probabilistic forecast coherence; scoring rule; Calculus; Contracts; Mathematics; Pattern recognition; Physics; Probability; Psychology; Statistical learning; Coherence; probability; scoring rule;
Journal_Title :
Information Theory, IEEE Transactions on
DOI :
10.1109/TIT.2009.2027573
