Coherent conditional probabilities and proper scoring rules

Giuseppe Sanfilippo, Angelo Gilio

Risultato della ricerca: Other

19 Citazioni (Scopus)

Abstract

In this paper we study the relationship between the notion of coherence for conditional probability assessments on a family of conditional events and the notion of admissibility with respect to scoring rules. By extending a recent result given in literature for unconditional events, we prove, for any given strictly proper scoring rule s, the equivalence between the coherence of a conditional probability assessment and its admissibility with respect to s. In this paper we focus our analysis on the case of continuous bounded scoring rules. In this context a key role is also played by Bregman divergence and by a related theoretical aspect. Finally, we briefly illustrate a possible way of defining (generalized) coherence of interval-valued probability assessments by exploiting the notion of admissibility given for precise probability assessments.
Lingua originaleEnglish
Pagine189-198
Numero di pagine10
Stato di pubblicazionePublished - 2011

All Science Journal Classification (ASJC) codes

  • Statistics and Probability

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