Why scoring functions cannot assess tail properties

被引:19
作者
Brehmer, Jonas R. [1 ]
Strokorb, Kirstin [2 ]
机构
[1] Univ Mannheim, Inst Math, Mannheim, Germany
[2] Cardiff Univ, Sch Math, Cardiff, S Glam, Wales
关键词
Elicitability; elicitation complexity; extreme value index; max-functional; proper scoring rule; scoring functions; consistency; tail equivalence; RULES; FORECASTS; DISTRIBUTIONS; VERIFICATION; DEPENDENCE;
D O I
10.1214/19-EJS1622
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Motivated by the growing interest in sound forecast evaluation techniques with an emphasis on distribution tails rather than average behaviour, we investigate a fundamental question arising in this context: Can statistical features of distribution tails be elicitable, i.e. be the unique minimizer of an expected score? We demonstrate that expected scores are not suitable to distinguish genuine tail properties in a very strong sense. Specifically, we introduce the class of max-functionals, which contains key characteristics from extreme value theory, for instance the extreme value index. We show that its members fail to be elicitable and that their elicitation complexity is in fact infinite under mild regularity assumptions. Further we prove that, even if the information of a max-functional is reported via the entire distribution function, a proper scoring rule cannot separate max-functional values. These findings highlight the caution needed in forecast evaluation and statistical inference if relevant information is encoded by such functionals.
引用
收藏
页码:4015 / 4034
页数:20
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