Cookies?
Library Header Image
LSE Research Online LSE Library Services

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

[img]
Preview
PDF - Accepted Version
Download (326kB) | Preview
Identification Number: 10.1016/j.jspi.2013.05.012

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)
Sets: Research centres and groups > Centre for the Analysis of Time Series (CATS)
Date Deposited: 25 Feb 2014 10:28
Last Modified: 30 Jan 2019 19:20
Projects: EP/G065802/1
Funders: Engineering and Physical Sciences Research Council
URI: http://eprints.lse.ac.uk/id/eprint/55854

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics