In this paper we study the relationship between the notion of coherence for conditional prevision assessments on a family of nite con- ditional 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.

Coherent Conditional Previsions and Proper Scoring Rules

BIAZZO, Veronica;
2012-01-01

Abstract

In this paper we study the relationship between the notion of coherence for conditional prevision assessments on a family of nite con- ditional 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.
2012
978-3-642-31723-1
Conditional prevision assessments; conditional scoring rules,; admissibility; proper scor- ing rules; weak dominance; strong dominance
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.11769/76928
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