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December, 1971 Proper Scores for Probability Forecasters
Arlo D. Hendrickson, Robert J. Buehler
Ann. Math. Statist. 42(6): 1916-1921 (December, 1971). DOI: 10.1214/aoms/1177693057


A probability forecaster is asked to give a density $p$ of a random variable $\omega$. In return he gets a reward (or score) depending on $p$ and on a subsequently observed value of $\omega$. A scoring rule is called proper if the expected score is maximized when the true density is chosen. The present paper uses convex analysis to generalize McCarthy's characterization of proper scoring rules.


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Arlo D. Hendrickson. Robert J. Buehler. "Proper Scores for Probability Forecasters." Ann. Math. Statist. 42 (6) 1916 - 1921, December, 1971.


Published: December, 1971
First available in Project Euclid: 27 April 2007

zbMATH: 0231.62018
MathSciNet: MR314430
Digital Object Identifier: 10.1214/aoms/1177693057

Rights: Copyright © 1971 Institute of Mathematical Statistics

Vol.42 • No. 6 • December, 1971
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