2014/03/16 by Philip Dawid, Monica Musio, Laura Ventura · 1 citation
Mathematics · #math.ST #stat.TH #msc:62F99
paper · pdf · doi:10.1111/sjos.12168
published as Scandinavian Journal of Statistics, Volume 43, Issue 1, pages 123-138, March 2016 · 27 pages, 3 figures
arxiv created 2014/03/16 · arxiv updated 2020/04/28
Proper scoring rules are methods for encouraging honest assessment of probability distributions. Just like likelihood, a proper scoring rule can be applied to supply an unbiased estimating equation for any statistical model, and the theory of such equations can be applied to understand the properties of the associated estimator. In this paper we develop some basic scoring rule estimation theory, and explore robustness and interval estimation properties by means of theory and simulations.