Evaluating probability forecasts in terms of refinement and strictly proper scoring rules
AbstractThis note gives an easily verified necessary and sufficient condition for one probability forecaster to empirically outperform another one in terms of all strictly proper scoring rules. Copyright © 2006 John Wiley & Sons, Ltd.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.
Volume (Year): 25 (2006)
Issue (Month): 3 ()
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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966
Other versions of this item:
- Krämer, Walter, 2003. "Evaluating probability forecasts in terms of refinement and strictly proper scoring rules," Technical Reports 2003,24, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
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- Walter Krämer & André Güttler, 2008.
"On comparing the accuracy of default predictions in the rating industry,"
Springer, vol. 34(2), pages 343-356, March.
- André Güttler & Walter Kraemer, 2008. "On Comparing the Accuracy of Default Predictions in the Rating Industry," CESifo Working Paper Series 2202, CESifo Group Munich.
- Prof. Dr. Walter Krämer & Andre Güttler, . "On comparing the accuracy of default predictions in the rating industry," Working Papers 2, Business and Social Statistics Department, Technische Universität Dortmund, revised Oct 2006.
- Krämer, Walter, 2004. "Qualitätsvergleiche bei Kreditausfallprognosen," Technical Reports 2004,07, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
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