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Evaluating probability forecasts in terms of refinement and strictly proper scoring rules

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  • Krämer, Walter

Abstract

This 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 Info

Paper provided by Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen in its series Technical Reports with number 2003,24.

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Date of creation: 2003
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Handle: RePEc:zbw:sfb475:200324

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Related research

Keywords: probability forecasts; scoring rules; refinement;

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Cited by:
  1. Prof. Dr. Walter Krämer & Andre Güttler, . "On comparing the accuracy of default predictions in the rating industry," Working Papers, Business and Social Statistics Department, Technische Universität Dortmund 2, Business and Social Statistics Department, Technische Universität Dortmund, revised Oct 2006.
  2. Krämer, Walter, 2004. "Qualitätsvergleiche bei Kreditausfallprognosen," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen 2004,07, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

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