Properization: Constructing Proper Scoring Rules via Bayes Acts

• Published in: arXiv.org
• Main Authors: Brehmer, Jonas, Gneiting, Tilmann
• Format: Paper Journal Article
• Language: English
• Published: Ithaca Cornell University Library, arXiv.org 16.08.2018
• Subjects: Bayesian analysis; Economic models; Mathematics - Statistics Theory; Performance prediction; Statistics - Theory

Scoring rules serve to quantify predictive performance. A scoring rule is proper if truth telling is an optimal strategy in expectation. Subject to customary regularity conditions, every scoring rule can be made proper, by applying a special case of the Bayes act construction studied by Gr\"unw...