Proper scoring rules with arbitrary value functions
AbstractAbstract A scoring rule is proper if it elicits an expert's true beliefs as a probabilistic forecast, and it is strictly proper if it uniquely elicits an expert's true beliefs. The value function associated with a (strictly) proper scoring rule is (strictly) convex on any convex set of beliefs. This paper gives conditions on compact sets of possible beliefs [Theta] that guarantee that every continuous value function on [Theta] is the value function associated with some strictly proper scoring rule. Compact subsets of many parametrized sets of distributions on satisfy these conditions.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Mathematical Economics.
Volume (Year): 46 (2010)
Issue (Month): 6 (November)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jmateco
Expert opinions Elicitation Proper scoring rules Value functions Convex extensions of functions Bauer simplexes Choquet' s theorem;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gneiting, Tilmann & Raftery, Adrian E., 2007. "Strictly Proper Scoring Rules, Prediction, and Estimation," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 102, pages 359-378, March.
- Franklin Allen, 1987. "Notes--Discovering Personal Probabilities When Utility Functions are Unknown," Management Science, INFORMS, INFORMS, vol. 33(4), pages 542-544, April.
- James E. Matheson & Robert L. Winkler, 1976. "Scoring Rules for Continuous Probability Distributions," Management Science, INFORMS, INFORMS, vol. 22(10), pages 1087-1096, June.
- A. Dawid, 2007. "The geometry of proper scoring rules," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 59(1), pages 77-93, March.
- Anderson Robert M. & Zame William R., 2001. "Genericity with Infinitely Many Parameters," The B.E. Journal of Theoretical Economics, De Gruyter, De Gruyter, vol. 1(1), pages 1-64, February.
- Daniel Friedman, 1983. "Effective Scoring Rules for Probabilistic Forecasts," Management Science, INFORMS, INFORMS, vol. 29(4), pages 447-454, April.
- Mas-Colell, Andreu & Whinston, Michael D. & Green, Jerry R., 1995. "Microeconomic Theory," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780195102680, October.
- Jun, Jooyong & Yoon, Kyoung-Soo, 2012. "Reservation wage and optimal contract for experts," Economics Letters, Elsevier, Elsevier, vol. 117(3), pages 619-623.
- Martin Dumav & Maxwell B. Stinchcombe, 2013. "The von Neumann/Morgenstern approach to ambiguity," Working Papers, Bielefeld University, Center for Mathematical Economics 480, Bielefeld University, Center for Mathematical Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.