Information Geometry and its Applications III

Abstract Philip Dawid

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Philip Dawid  (University of Cambridge, United Kingdom) (joint work with Matthew Parry and Steffen Lauritzen)
Monday, August 02, 2010, room Hörsaal 1
Local proper scoring rules

A scoring rule S(x, Q) measures the quality of a quoted distribution Q for an uncertain quantity X in the light of the realised value x of X. It is proper when it encourages honesty, i.e, when, if your uncertainty about X is represented by a distribution P, the choice Q = P minimises your expected loss. Traditionally, a scoring rule has been called local if it depends on Q only through q(x), the density of Q at x. The only proper local scoring rule is then the formula27-score, formula29. For the continuous case, we can weaken the definition of locality to allow dependence on a finite number m of derivatives of q at x. A full characterisation is given of such order-m local proper scoring rules, and their behaviour under transformations of the outcome space. In particular, any m-local scoring rule with m > 0 can be computed without knowledge of the normalising constant of the density. Parallel results for discrete spaces will be given.

 

Date and Location

August 02 - 06, 2010
University of Leipzig
Augustusplatz
04103 Leipzig
Germany

Scientific Organizers

Nihat Ay
Max Planck Institute for Mathematics in the Sciences
Information Theory of Cognitive Systems Group
Germany
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Paolo Gibilisco
Università degli Studi di Roma "Tor Vergata"
Facoltà di Economia
Italy
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František Matúš
Academy of Sciences of the Czech Republic
Institute of Information Theory and Automation
Czech Republic
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Scientific Committee

Shun-ichi Amari
RIKEN
Brain Science Institute, Mathematical Neuroscience Laboratory
Japan
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Imre Csiszár
Hungarian Academy of Sciences
Alfréd Rényi Institute of Mathematics
Hungary
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Dénes Petz
Budapest University of Technology and Economics
Department for Mathematical Analysis
Hungary
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Giovanni Pistone
Collegio Carlo Alberto, Moncalieri
Italy
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Administrative Contact

Antje Vandenberg
Max Planck Institute for Mathematics in the Sciences
Contact by Email
Phone: (++49)-(0)341-9959-552
Fax: (++49)-(0)341-9959-555

05.04.2017, 12:42