Evaluating probability forecasts in terms of refinement and strictly proper scoring rules
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.
|Date of creation:||2003|
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- R. Winkler & Javier Muñoz & José Cervera & José Bernardo & Gail Blattenberger & Joseph Kadane & Dennis Lindley & Allan Murphy & Robert Oliver & David Ríos-Insua, 1996. "Scoring rules and the evaluation of probabilities," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 5(1), pages 1-60, June.
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