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Scoring rules and the evaluation of probabilities

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Author Info

  • R. Winkler
  • Javier Muñoz
  • José Cervera
  • José Bernardo
  • Gail Blattenberger
  • Joseph Kadane
  • Dennis Lindley
  • Allan Murphy
  • Robert Oliver
  • David Ríos-Insua
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/BF02562681
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    Bibliographic Info

    Article provided by Springer in its journal Test.

    Volume (Year): 5 (1996)
    Issue (Month): 1 (June)
    Pages: 1-60

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    Handle: RePEc:spr:testjl:v:5:y:1996:i:1:p:1-60

    Contact details of provider:
    Web page: http://www.springerlink.com/link.asp?id=120411

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    Web: http://link.springer.de/orders.htm

    Related research

    Keywords: Attributes of “Good” probabilities; Decomposition of expected Scores; Evaluation of Probabilities; Probability Assessment; Probability Forecasts; Scoring Rules;

    References

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    1. Murphy, Allan H. & Winkler, Robert L., 1992. "Diagnostic verification of probability forecasts," International Journal of Forecasting, Elsevier, vol. 7(4), pages 435-455, March.
    2. Rubin Herman, 1987. "A Weak System Of Axioms For "Rational" Behavior And The Nonseparability Of Utility From Prior," Statistics & Risk Modeling, De Gruyter, vol. 5(1-2), pages 47-58, February.
    3. Harsanyi, John C., 1994. "Games with Incomplete Information," Nobel Prize in Economics documents 1994-1, Nobel Prize Committee.
    4. James Berger & Elías Moreno & Luis Pericchi & M. Bayarri & José Bernardo & Juan Cano & Julián Horra & Jacinto Martín & David Ríos-Insúa & Bruno Betrò & A. Dasgupta & Paul Gustafson & Larry Wass, 1994. "An overview of robust Bayesian analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 3(1), pages 5-124, June.
    5. Joseph Kadane & Javier Girón & Daniel Peña & Peter Fishburn & Simon French & D. Lindley & Giovanni Parmigiani & Robert Winkler, 1993. "Several Bayesians: A review," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 2(1), pages 1-32, December.
    6. Emir Shuford & Arthur Albert & H. Edward Massengill, 1966. "Admissible probability measurement procedures," Psychometrika, Springer, vol. 31(2), pages 125-145, June.
    7. A. Dawid & M. DeGroot & J. Mortera & R. Cooke & S. French & C. Genest & M. Schervish & D. Lindley & K. McConway & R. Winkler, 1995. "Coherent combination of experts' opinions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 4(2), pages 263-313, December.
    8. Deirdre N. McCloskey & Stephen T. Ziliak, 1996. "The Standard Error of Regressions," Journal of Economic Literature, American Economic Association, vol. 34(1), pages 97-114, March.
    9. Yates, J. Frank, 1988. "Analyzing the accuracy of probability judgments for multiple events: An extension of the covariance decomposition," Organizational Behavior and Human Decision Processes, Elsevier, vol. 41(3), pages 281-299, June.
    10. Robert L. Winkler & Roy M. Poses, 1993. "Evaluating and Combining Physicians' Probabilities of Survival in an Intensive Care Unit," Management Science, INFORMS, vol. 39(12), pages 1526-1543, December.
    11. Robert L. Winkler & Wayne S. Smith & Ram B. Kulkarni, 1978. "Adaptive Forecasting Models Based on Predictive Distributions," Management Science, INFORMS, vol. 24(10), pages 977-986, June.
    12. Blattenberger, Gail, 1996. "Money Demand Revisited: An Operational Subjective Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(2), pages 153-68, March-Apr.
    13. James E. Matheson & Robert L. Winkler, 1976. "Scoring Rules for Continuous Probability Distributions," Management Science, INFORMS, vol. 22(10), pages 1087-1096, June.
    14. Blattenberger, Gail & Lad, Frank, 1988. "An Application of Operational-Subjective Statistical Methods to Rational Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(4), pages 453-64, October.
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    Citations

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    Cited by:
    1. D. Johnstone, 2007. "The Value of a Probability Forecast from Portfolio Theory," Theory and Decision, Springer, vol. 63(2), pages 153-203, September.
    2. André Güttler, 2005. "Using a Bootstrap Approach to Rate the Raters," Financial Markets and Portfolio Management, Springer, vol. 19(3), pages 277-295, October.
    3. Gneiting, Tilmann, 2011. "Quantiles as optimal point forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 197-207, April.
    4. Ateca-Amestoy, Victoria & Prieto-Rodriguez, Juan, 2013. "Forecasting accuracy of behavioural models for participation in the arts," European Journal of Operational Research, Elsevier, vol. 229(1), pages 124-131.
    5. Braun, Julia & Sabanés Bové, Daniel & Held, Leonhard, 2014. "Choice of generalized linear mixed models using predictive crossvalidation," Computational Statistics & Data Analysis, Elsevier, vol. 75(C), pages 190-202.
    6. Tilmann Gneiting & Larissa Stanberry & Eric Grimit & Leonhard Held & Nicholas Johnson, 2008. "Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 17(2), pages 211-235, August.
    7. Clements, Michael P & Harvey, David I, 2006. "Forecast Encompassing Tests and Probability Forecasts," The Warwick Economics Research Paper Series (TWERPS) 774, University of Warwick, Department of Economics.
    8. Victor Jose, 2009. "A Characterization for the Spherical Scoring Rule," Theory and Decision, Springer, vol. 66(3), pages 263-281, March.
    9. David Johnstone, 2007. "Discussion of Altman and Sabato," Abacus, Accounting Foundation, University of Sydney, vol. 43(3), pages 358-362.
    10. Krämer, Walter, 2004. "Qualitätsvergleiche bei Kreditausfallprognosen," Technical Reports 2004,07, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    11. David Johnstone, 2007. "Economic Darwinism: Who has the Best Probabilities?," Theory and Decision, Springer, vol. 62(1), pages 47-96, February.
    12. Karl Schlag & James Tremewan & Joel van der Weele, 2014. "A Penny for Your Thoughts:A Survey of Methods for Eliciting Beliefs," Vienna Economics Papers 1401, University of Vienna, Department of Economics.

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