Probabilistic coherence and proper scoring rules

Details Probabilistic coherence and proper scoring rules Probabilistic coherence and proper scoring rules

2007-10-16

arxiv.org/abs/0710.3183v1

IEEE T. Inform. Theory 55, 4786 (2009)

Statistics

Machine Learning

LaTeX2, 15 pages

Scientific paper

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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