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. --
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Bibliographic InfoPaper provided by Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen in its series Technical Reports with number 2003,24.
Date of creation: 2003
Date of revision:
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probability forecasts; scoring rules; refinement;
Other versions of this item:
- Walter Krämer, 2006. "Evaluating probability forecasts in terms of refinement and strictly proper scoring rules," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(3), pages 223-226.
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- André Güttler & Walter Kraemer, 2008.
"On Comparing the Accuracy of Default Predictions in the Rating Industry,"
CESifo Working Paper Series
2202, CESifo Group Munich.
- Walter Krämer & André Güttler, 2008. "On comparing the accuracy of default predictions in the rating industry," Empirical Economics, Springer, vol. 34(2), pages 343-356, March.
- 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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