Probabilistic coherence and proper scoring rules

Authors:
Joel B. Predd;Robert Seiringer;Elliott H. Lieb;Daniel N. Osherson;H. Vincent Poor;Sanjeev R. Kulkarni
Affiliations:
RAND Corporation, Pittsburgh, PA;Department of Physics, Princeton University, Princeton, NJ;Departments of Mathematics and Physics, Princeton University, Princeton, NJ;Department of Psychology, Princeton University, Princeton, NJ;Department of Electrical Engineering, Princeton University, Princeton, NJ;Department of Electrical Engineering, Princeton University, Princeton, NJ
Venue:
IEEE Transactions on Information Theory
Year:
2009

Citing 2
Cited 3

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Abstract

This paper provides self-contained proof of a theorem relating probabilistic coherence of forecasts to their nondomination by rival forecasts with respect to any proper scoring rule. The theorem recapitulates insights achieved by other investigators, and clarifies the connection of coherence and proper scoring rules to Bregman divergence.