Proper local scoring rules

Abstract

We investigate proper scoring rules for continuous distributions on the real line. It is known that the log score is the only such rule that depends on the quoted density only through its value at the outcome that materializes. Here we allow further dependence on a finite number $m$ of derivatives of the density at the outcome, and describe a large class of such $m$-local proper scoring rules: these exist for all even $m$ but no odd $m$. We further show that for $m\ge 2$ all such $m$-local rules can be computed without knowledge of the normalizing constant of the distribution.

Published in at http://dx.doi.org/10.1214/12-AOS971 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)

References in corpus (2)

• Proper local scoring rules on discrete sample spaces
• Local proper scoring rules of order two

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