评估概率预测
Evaluating probability forecasts
摘要：
事件的概率预测通常用于气候预测，预测银行贷款的违约概率或估计患者对治疗的积极反应的概率。评分规则长期以来一直被用来评估预测概率的有效性后，观察预测事件的发生，或不发生。我们在这里发展了一种评分规则的统计理论，并提出了一种评估概率预测的替代方法。这种方法使用的损失函数预测的事件的实际概率，并应用鞅理论，利用预测和随后的事件发生或不发生之间的时间结构。
英文摘要：
Probability forecasts of events are routinely used in climate predictions, in forecasting default probabilities on bank loans or in estimating the probability of a patient's positive response to treatment. Scoring rules have long been used to assess the efficacy of the forecast probabilities after observing the occurrence, or nonoccurrence, of the predicted events. We develop herein a statistical theory for scoring rules and propose an alternative approach to the evaluation of probability forecasts. This approach uses loss functions relating the predicted to the actual probabilities of the events and applies martingale theory to exploit the temporal structure between the forecast and the subsequent occurrence or nonoccurrence of the event.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
