In this paper we study the relationship between the notion of coherence for conditional prevision assessments on a family of finite conditional random quantities and the notion of admissibility with respect to bounded strictly proper scoring rules. Our work extends recent results given by the last two authors of this paper on the equivalence between coherence and admissibility for conditional probability assessments. In order to prove that admissibility implies coherence a key role is played by the notion of Bregman divergence.

Biazzo, V., Gilio, A., Sanfilippo, G. (2012). Coherent conditional previsions and proper scoring rules. In Salvatore G, Bouchon-Meunier B, Coletti G, Fedrizzi M, Matarazzo B, Yager RR (a cura di), Advances in computational intelligence (pp. 146-156). Heidelberg : Springer [10.1007/978-3-642-31724-8_16].

Coherent conditional previsions and proper scoring rules

SANFILIPPO, Giuseppe
2012

Abstract

In this paper we study the relationship between the notion of coherence for conditional prevision assessments on a family of finite conditional random quantities and the notion of admissibility with respect to bounded strictly proper scoring rules. Our work extends recent results given by the last two authors of this paper on the equivalence between coherence and admissibility for conditional probability assessments. In order to prove that admissibility implies coherence a key role is played by the notion of Bregman divergence.
Settore MAT/06 - Probabilita' E Statistica Matematica
Biazzo, V., Gilio, A., Sanfilippo, G. (2012). Coherent conditional previsions and proper scoring rules. In Salvatore G, Bouchon-Meunier B, Coletti G, Fedrizzi M, Matarazzo B, Yager RR (a cura di), Advances in computational intelligence (pp. 146-156). Heidelberg : Springer [10.1007/978-3-642-31724-8_16].
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10447/66130
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