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Sensitivity measures based on scoring functions

Tobias Fissler and Silvana M. Pesenti

European Journal of Operational Research, 2023, vol. 307, issue 3, 1408-1423

Abstract: We propose a holistic framework for constructing sensitivity measures for any elicitable functional T of a response variable. The sensitivity measures, termed score-based sensitivities, are constructed via scoring functions that are (strictly) consistent for T. These score-based sensitivities quantify the relative improvement in predictive accuracy when available information, e.g., from explanatory variables, is used ideally. We establish intuitive and desirable properties of these sensitivities and discuss advantageous choices of scoring functions leading to scale-invariant sensitivities.

Keywords: Consistency; Elicitability; Expected shortfall; Information value; Value-at-Risk (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:307:y:2023:i:3:p:1408-1423

DOI: 10.1016/j.ejor.2022.10.002

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European Journal of Operational Research is currently edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati

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