Economic Interpretation of Probabilities Estimated by Maximum Likelihood or Score

Published Online:https://doi.org/10.1287/mnsc.1100.1272

References

  • Buja A., Stuetzle W., Shen Y. Loss functions for binary class probability estimation and classification: Structure and applications. (2005) . Working paper, Statistics Department, The Wharton School, University of Pennsylvania, PhiladelphiaGoogle Scholar
  • DeGroot M. H., Feinberg S. E. The comparison and evaluation of forecasters. Statistician (1983) 32(1/2):12–22CrossrefGoogle Scholar
  • Gneiting T., Raftery A. Strictly proper scoring rules, prediction, and estimation. J. Amer. Statist. Assoc. (2007) 102(March):359–378CrossrefGoogle Scholar
  • Grant A., Johnstone D. J., Kwon O. K. Optimal betting strategies for simultaneous games. Decision Anal. (2008) 5(1):10–18LinkGoogle Scholar
  • Johnstone D. J. The parimutuel Kelly probability scoring rule. Decision Anal. (2007) 4(2):66–75LinkGoogle Scholar
  • Jose V. R., Nau R. F., Winkler R. L. Scoring rules, generalized entropy, and utility maximization. Oper. Res. (2008) 56(5):1146–1157LinkGoogle Scholar
  • Kadane J. Partial Kelly strategies and expected utility: Small edge asymptotics. (2010) . Working paper, Department of Statistics, Carnegie-Mellon University, PittsburghGoogle Scholar
  • Miller N., Resnick P., Zeckhauser R. Eliciting informative feedback: The peer-prediction method. Management Sci. (2005) 51(9):1359–1373LinkGoogle Scholar
  • Murphy A. H. A note on the utility of probabilistic predictions and the probability score in the cost-loss ratio decision situation. J. Appl. Meteorology (1966) 5(4):534–537CrossrefGoogle Scholar
  • Roulston M. S., Smith L. A. Evaluating probability forecasts using information theory. Monthly Weather Rev. (2002) 130(6):1653–1660CrossrefGoogle Scholar
  • Selten R. Axiomatic characterization of the quadratic scoring rule. Experiment. Econom. (1998) 1(1):43–62CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.