Sensitivity to distance and baseline distributions in forecast evaluation

Published

Journal Article

Scoring rules can provide incentives for truthful reporting of probabilities and evaluation measures for the probabilities after the events of interest are observed. Often the space of events is ordered and an evaluation relative to some baseline distribution is desired. Scoring rules typically studied in the literature and used in practice do not take account of any ordering of events, and they evaluate probabilities relative to a default baseline distribution. In this paper, we construct rich families of scoring rules that are strictly proper (thereby encouraging truthful reporting), are sensitive to distance (thereby taking into account ordering of events), and incorporate a baseline distribution relative to which the value of a forecast is measured. In particular, we extend the power and pseudospherical families of scoring rules to allow for sensitivity to distance, with or without a specified baseline distribution. © 2009 INFORMS.

Full Text

Duke Authors

Cited Authors

  • Jose, VRR; Nau, RF; Winkler, RL

Published Date

  • April 1, 2009

Published In

Volume / Issue

  • 55 / 4

Start / End Page

  • 582 - 590

Electronic International Standard Serial Number (EISSN)

  • 1526-5501

International Standard Serial Number (ISSN)

  • 0025-1909

Digital Object Identifier (DOI)

  • 10.1287/mnsc.1080.0955

Citation Source

  • Scopus