Effective Scoring Rules for Probabilistic Forecasts

Daniel Friedman

Management Science, 1983, vol. 29, issue 4, 447-454

Abstract: This paper studies the use of a scoring rule for the elicitation of forecasts in the form of probability distributions and for the subsequent evaluation of such forecasts. Given a metric (distance function) on a space of probability distributions, a scoring rule is said to be effective if the forecaster's expected score is a strictly decreasing function of the distance between the elicited and "true" distributions. Two simple, well-known rules (the spherical and the quadratic) are shown to be effective with respect to suitable metrics. Examples and a practical application (in Foreign Exchange rate forecasting) are also provided.

Keywords: forecasting; Delphi technique (search for similar items in EconPapers)
Date: 1983
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Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:29:y:1983:i:4:p:447-454

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