Philip Dawid (University of Cambridge

Theory and Applications of Proper Scoring Rules

We give an overview of the theory of proper scoring rules, and some recent applications.

A proper scoring rule encourages honest assessment of personal probabilities. It can also be used to define general entropy functions, discrepancy functions, M-estimators, etc., and to extend composite likelihood methods.

We have recently characterised those proper local scoring rules that can be computed without requiring the normalising constant of the density. This property is valuable for many purposes, including Bayesian model selection with improper priors.