Related papers: Compatible Weighted Proper Scoring Rules
A scoring rule is a loss function measuring the quality of a quoted probability distribution $Q$ for a random variable $X$, in the light of the realized outcome $x$ of $X$; it is proper if the expected score, under any distribution $P$ for…
What does it mean to say that, for example, the probability for rain tomorrow is between 20% and 30%? The theory for the evaluation of precise probabilistic forecasts is well-developed and is grounded in the key concepts of proper scoring…
Standard Bayesian analyses can be difficult to perform when the full likelihood, and consequently the full posterior distribution, is too complex and difficult to specify or if robustness with respect to data or to model misspecifications…
Score matching estimators have gained widespread attention in recent years partly because they are free from calculating the integral of normalizing constant, thereby addressing the computational challenges in maximum likelihood estimation…
Probabilistic forecasts in the form of probability distributions over future events have become popular in several fields including meteorology, hydrology, economics, and demography. In typical applications, many alternative statistical…
This paper develops a framework for the design of scoring rules to optimally incentivize an agent to exert a multi-dimensional effort. This framework is a generalization to strategic agents of the classical knapsack problem (cf. Briest,…
We aim to produce predictive models that are not only accurate, but are also interpretable to human experts. Our models are decision lists, which consist of a series of if...then... statements (e.g., if high blood pressure, then stroke)…
Averages of proper scoring rules are often used to rank probabilistic forecasts. In many cases, the individual terms in these averages are based on observations and forecasts from different distributions. We show that some of the most…
Conformal prediction is a powerful framework for constructing prediction sets with valid coverage guarantees in multi-class classification. However, existing methods often rely on a single score function, which can limit their efficiency…
A scoring system is a simple decision model that checks a set of features, adds a certain number of points to a total score for each feature that is satisfied, and finally makes a decision by comparing the total score to a threshold.…
Scoring rules promote rational and honest decision-making, which is important for model evaluation and becoming increasingly important for automated procedures such as `AutoML'. In this paper we survey common squared and logarithmic scoring…
Pairwise Markov Random Fields (MRFs) or undirected graphical models are parsimonious representations of joint probability distributions. Variables correspond to nodes of a graph, with edges between nodes corresponding to conditional…
We show that the incorporation of any new piece of information allows for improved decision making in the sense that the expected costs of an optimal decision decrease (or, in boundary cases where no or not enough new information is…
We propose using a discounted version of a convex combination of the log-likelihood with the corresponding expected log-likelihood such that when they are maximized they yield a filter, predictor and smoother for time series. This paper…
In many families of distributions, maximum likelihood estimation is intractable because the normalization constant for the density which enters into the likelihood function is not easily available. The score matching estimator of…
We consider frequently used scoring rules for right-censored survival regression models such as time-dependent concordance, survival-CRPS, integrated Brier score and integrated binomial log-likelihood, and prove that neither of them is a…
This paper develops a framework for incorporating prior information into sequential multiple testing procedures while maintaining asymptotic optimality. We define a weighted log-likelihood ratio (WLLR) as an additive modification of the…
The skew-normal and the skew-$t$ distributions are parametric families which are currently under intense investigation since they provide a more flexible formulation compared to the classical normal and $t$ distributions by introducing a…
Performative predictions are forecasts which influence the outcomes they aim to predict, undermining the existence of correct forecasts and standard methods of elicitation and estimation. We show that conditioning forecasts on covariates…
A scoring rule is a function of a probabilistic forecast and a corresponding outcome that is used to evaluate forecast performance. A wide range of scoring rules have been defined over time and there is some debate as to which are the most…