6533b7dbfe1ef96bd127011c

RESEARCH PRODUCT

Coherent Conditional Previsions and Proper Scoring Rules

Veronica BiazzoGiuseppe SanfilippoAngelo Gilio

subject

Settore MAT/06 - Probabilita' E Statistica Matematicabregman divergenceproper scor- ing rulesConditional prevision assessmentsconditional scoring rulesstrong dominanceConditional probabilityweak dominanceCoherence (statistics)Bregman divergenceConditional prevision assessments coherence proper scoring rules conditional scoring rules weak dominance strong dominance admissibility Bregman divergence.proper scoring rulescoherenceBounded functionKey (cryptography)admissibilityConditional prevision assessments; conditional scoring rules; admissibility; proper scor- ing rules; weak dominance; strong dominanceEquivalence (measure theory)Mathematical economicsconditional prevision assessments; strong dominance; admissibility; proper scoring rules; bregman divergence; weak dominance; conditional scoring rules; coherenceMathematics

description

In this paper we study the relationship between the notion of coherence for conditional prevision assessments on a family of finite conditional random quantities and the notion of admissibility with respect to bounded strictly proper scoring rules. Our work extends recent results given by the last two authors of this paper on the equivalence between coherence and admissibility for conditional probability assessments. In order to prove that admissibility implies coherence a key role is played by the notion of Bregman divergence.

yearjournalcountryeditionlanguage
2012-01-01
https://doi.org/10.1007/978-3-642-31724-8_16