Probabilistic coherence and proper scoring rules
IEEE Transactions on Information Theory 55 (10):4786-4792 (2009)
| Abstract | We provide self-contained proof of a theorem relating probabilistic coherence of forecasts to their non-domination by rival forecasts with respect to any proper scoring rule. The theorem recapitulates insights achieved by other investigators, and clarifi es the connection of coherence and proper scoring rules to Bregman divergence. | |||||||||
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