Probabilistic coherence and proper scoring rules

Joel B. Predd; Robert Seiringer; Elliott H. Lieb; Daniel N. Osherson; H. Vincent Poor; Sanjeev R. Kulkarni

doi:10.1109/TIT.2009.2027573

Probabilistic coherence and proper scoring rules

Joel B. Predd
, Robert Seiringer
, Elliott H. Lieb
, Daniel N. Osherson
, H. Vincent Poor
, Sanjeev R. Kulkarni

Research output: Contribution to journal › Article › peer-review

108 Scopus citations

Abstract

This paper provides 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 recapitulates insights achieved by other investigators, and clarifies the connection of coherence and proper scoring rules to Bregman divergence.

Original language	English (US)
Pages (from-to)	4786-4792
Number of pages	7
Journal	IEEE Transactions on Information Theory
Volume	55
Issue number	10
DOIs	https://doi.org/10.1109/TIT.2009.2027573
State	Published - 2009

All Science Journal Classification (ASJC) codes

Information Systems
Computer Science Applications
Library and Information Sciences

Keywords

Coherence
Probability
Scoring rule

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10.1109/TIT.2009.2027573

Cite this

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title = "Probabilistic coherence and proper scoring rules",

abstract = "This paper provides 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 recapitulates insights achieved by other investigators, and clarifies the connection of coherence and proper scoring rules to Bregman divergence.",

keywords = "Coherence, Probability, Scoring rule",

author = "Predd, \{Joel B.\} and Robert Seiringer and Lieb, \{Elliott H.\} and Osherson, \{Daniel N.\} and Poor, \{H. Vincent\} and Kulkarni, \{Sanjeev R.\}",

note = "Funding Information: Manuscript received March 02, 2008; revised April 21, 2009. Current version published September 23, 2009. This work was supported by the National Science Foundation (NSF) under Grants PHY-0652854 to E. H. Lieb, and PHY-0652356 to R. Seiringer. The work of R. Seiringer was also supported in part by A. P. Sloan Fellowship. The work of D. N. Osherson was supported by the Henry Luce Foundation. The work of H. V. Poor was supported by NSF under Grants ANI-03-38807 and CNS-06-25637. The work of S. R. Kulkarni was supported by the Office of Naval Research under Contracts W911NF-07-1-0185 and N00014-07-1-0555.",

year = "2009",

doi = "10.1109/TIT.2009.2027573",

language = "English (US)",

volume = "55",

pages = "4786--4792",

journal = "IEEE Transactions on Information Theory",

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T1 - Probabilistic coherence and proper scoring rules

AU - Predd, Joel B.

AU - Seiringer, Robert

AU - Lieb, Elliott H.

AU - Osherson, Daniel N.

AU - Poor, H. Vincent

AU - Kulkarni, Sanjeev R.

N1 - Funding Information: Manuscript received March 02, 2008; revised April 21, 2009. Current version published September 23, 2009. This work was supported by the National Science Foundation (NSF) under Grants PHY-0652854 to E. H. Lieb, and PHY-0652356 to R. Seiringer. The work of R. Seiringer was also supported in part by A. P. Sloan Fellowship. The work of D. N. Osherson was supported by the Henry Luce Foundation. The work of H. V. Poor was supported by NSF under Grants ANI-03-38807 and CNS-06-25637. The work of S. R. Kulkarni was supported by the Office of Naval Research under Contracts W911NF-07-1-0185 and N00014-07-1-0555.

PY - 2009

Y1 - 2009

N2 - This paper provides 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 recapitulates insights achieved by other investigators, and clarifies the connection of coherence and proper scoring rules to Bregman divergence.

AB - This paper provides 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 recapitulates insights achieved by other investigators, and clarifies the connection of coherence and proper scoring rules to Bregman divergence.

KW - Coherence

KW - Probability

KW - Scoring rule

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UR - https://www.scopus.com/pages/publications/70349632395#tab=citedBy

U2 - 10.1109/TIT.2009.2027573

DO - 10.1109/TIT.2009.2027573

M3 - Article

AN - SCOPUS:70349632395

SN - 0018-9448

VL - 55

SP - 4786

EP - 4792

JO - IEEE Transactions on Information Theory

JF - IEEE Transactions on Information Theory

IS - 10

ER -

Probabilistic coherence and proper scoring rules

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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