On the ordering of probability forecasts

Walter Krämer

Working Papers from Business and Social Statistics Department, Technische Universität Dortmund

Abstract: The paper explores the relationship between various orderings among probability forecasts that have been suggested in the literature. It is shown that well calibrated forecasters are in general not comparable according to the domination ordering suggested by Vardeman and Meeden (1983), that the orderings based on ROC-curves and Gini-curves are identical, and that the domination ordering in conjunction with semicalibration implies the rest.

Keywords: credit risk; probability forecasts; calibration; refinement; domination. (search for similar items in EconPapers)
Pages: 12 pages
Date: 2003-05
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Citations: View citations in EconPapers (2)

Published in Sankhya, 2005, pages 662-669

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Persistent link: https://EconPapers.repec.org/RePEc:dor:wpaper:1

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