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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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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