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We revisit the mathematical foundations of proper scoring rules (PSRs) and Bregman divergences and present their characteristic properties in a unified theoretical framework.
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“Clustering with Bregman divergences”
A. Banerjee, S. Merugu, I.˜S. Dhillon and J. Ghosh · 2005
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“Estimation of non-normalized statistical models by score matching”
A. Hyv“”arinen · 2005
Cited alongside, same era.
“The geometry of proper scoring rules”
A.˜P. Dawid · 2007
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“Strictly proper scoring rules, prediction, and estimation”
T. Gneiting and A.˜E. Raftery · 2007
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“Some extensions of score matching”
A. Hyv“”arinen · 2007
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“Functional Bregman divergence and Bayesian estimation of distributions”
B.˜A. Frigyik, S. Srivastava and M.˜R. Gupta · 2008
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“Proper local scoring rules”
M. Parry, A.˜P. Dawid and S. Lauritzen · 2012
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“Applications of convex analysis within mathematics”
F.˜J. Arag“’on˜Artacho, J.˜M. Borwein, V. Mart“’in-M“’arquez and L. Yao · 2014
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“Theory and applications of proper scoring rules”
A.˜P. Dawid and M. Musio · 2014
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“Linear estimating equations for exponential families with application to Gaussian linear concentration models” In press
P.˜G.˜M. Forbes and S. Lauritzen · 2014
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“General truthfulness characterizations via convex analysis”
R.˜M. Frongillo and I. Kash · 2014
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“Probabilistic forecasting”
T. Gneiting and M. Katzfuss · 2014
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J.˜D. Boissonnat, F. Nielsen and R. Nock · 2010
Cited alongside, same era.
“Convex functions: Constructions, characterizations and counterexamples”, Encyclopedia of Mathematics and its Applications 109
J. Borwein and J. Vanderwerff · 2010
Cited alongside, same era.
“A characterization of scoring rules for linear properties”
J.˜D. Abernethy and R.˜M. Frongillo · 2012
Cited alongside, same era.
“Proper local scoring rules on discrete sample spaces”
A.˜P. Dawid, S. Lauritzen and M. Parry · 2012
Cited alongside, same era.
“Estimation of spatial processes using local scoring rules” Spatial special issue
A.˜P. Dawid and M. Musio · 2012
Cited alongside, same era.
“Existence and uniqueness of proper scoring rules” In press
E.˜Y. Ovcharov · 2014
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“Elicitation and identification of properties”
I. Steinwart, C. Pasin, R.˜C. Williamson and S. Zhang · 2014
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“The geometry of losses”
R.˜C. Williamson · 2014
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“Coherence and elicitability” Preprint
J.˜F. Ziegel · 2014
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“Robust estimation under heavy contamination using enlarged models” doi:10.1093/biomet/asv014
T. Kanamori and H. Fujisawa · 2015
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