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Effective Scoring Rules for Probabilistic Forecasts

  • Daniel Friedman

    (University of California at Los Angeles)

This paper studies the use of a scoring rule for the elicitation of forecasts in the form of probability distributions and for the subsequent evaluation of such forecasts. Given a metric (distance function) on a space of probability distributions, a scoring rule is said to be effective if the forecaster's expected score is a strictly decreasing function of the distance between the elicited and "true" distributions. Two simple, well-known rules (the spherical and the quadratic) are shown to be effective with respect to suitable metrics. Examples and a practical application (in Foreign Exchange rate forecasting) are also provided.

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File URL: http://dx.doi.org/10.1287/mnsc.29.4.447
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Article provided by INFORMS in its journal Management Science.

Volume (Year): 29 (1983)
Issue (Month): 4 (April)
Pages: 447-454

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Handle: RePEc:inm:ormnsc:v:29:y:1983:i:4:p:447-454
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