Contrasting probabilistic scoring rules

Machete, Reason L. (2013) Contrasting probabilistic scoring rules. Journal of Statistical Planning and Inference, 143 (10). pp. 1781-1790. ISSN 0378-3758

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Abstract

There are several scoring rules that one can choose from in order to score probabilistic forecasting models or estimate model parameters. Whilst it is generally agreed that proper scoring rules are preferable, there is no clear criterion for preferring one proper scoring rule above another. This manuscript compares and contrasts some commonly used proper scoring rules and provides guidance on scoring rule selection. In particular, it is shown that the logarithmic scoring rule prefers erring with more uncertainty, the spherical scoring rule prefers erring with lower uncertainty, whereas the other scoring rules are indifferent to either option.

Item Type:	Article
Official URL:	http://www.sciencedirect.com/science/journal/03783...
Additional Information:	© 2013 Elsevier B.V.
Divisions:	Centre for Analysis of Time Series
Subjects:	Q Science > Q Science (General)
Date Deposited:	25 Feb 2014 10:28
Last Modified:	24 Apr 2024 02:21
Projects:	EP/G065802/1
Funders:	Engineering and Physical Sciences Research Council
URI:	http://eprints.lse.ac.uk/id/eprint/55854

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