Coherent Conditional Previsions and Proper Scoring Rules
In this paper we study the relationship between the notion of coherence for conditional prevision assessments on a family of finite conditional 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.
KeywordsConditional prevision assessments coherence proper scoring rules conditional scoring rules weak dominance strong dominance admissibility Bregman divergence
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