865

Proper Scoring Rules, Dominated Forecasts, and Coherence

Mark J. Schervish, Teddy Seidenfeld, and Joseph B. Kadane

Abstract:

De Finetti introduced the concept of coherent previsions and conditional previsions through a gambling argument and through a parallel argument based on a quadratic scoring rule. He shows that the two arguments lead to the same concept of coherence. When dealing with events only, there is a rich class of scoring rules which might be used in place of the quadratic scoring rule. We give conditions under which a general strictly proper scoring rule can replace the quadratic scoring rule while preserving the equivalence of de Finetti's two arguments. In proving our results, we present a strengthening of the usual minimax theorem. We also present generalizations of de Finetti's fundamental theorem of prevision to deal with conditional previsions.



Heidi Sestrich 2008-07-18
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