- Scoring rule
In
decision theory a score function, or scoring rule, is a measure of someone's performance when they are repeatedly making decisions under uncertainty. For example, a TV weather forecaster may give the probability of rain every day. A viewer could note the number of times that a 25% probability was quoted, over a ten year period, and compare this with the actual proportion of times that rain fell. If the actual percentage was substantially different from the stated probability we say that the forecaster ispoorly calibrated . A poorly calibrated forecaster might be encouraged to do better by abonus system. Suppose we reward the forecaster with a reward when he makes a rain statement with an attached rain probability and if it rains, if it does not. Assuming that our weatherman wishes to maximise his expected reward he will choose a forecast which maximises:
where "p" is his personal probability that rain will fall.
Proper score functions
A scoring rule is said to be proper if is (uniquely) maximised when for any value of . The use of proper scoring rule encourages the forecaster to be honest, as his expected payoff is maximised when he reports his personal rain probability as the prediction . Two commonly used proper score functions are:
The
Brier score , given byand the logarithmic score function.
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