Tuesday, February 21, 2023

Continuity, scoring rules and domination

Pettigrew claimed, and Nielsen and I independently proved (my proof is here) that any strictly proper scoring rule on a finite space that is continuous on the probabilities has the domination property that any non-probability is strictly dominated in score by some probability.

An interesting question is how far one can weaken the continuity assumption. While I gave necessary and sufficient conditions, those conditions are rather complicated and hard to work with. So here is an interesting question: Is it sufficient for the domination property that the scoring rule be continuous at all the regular probabilities, those that assign non-zero values to every point, and finite?

I recently posted, and fairly quickly took down, a mistaken argument for a negative answer. I now have a proof of a positive answer. It took me way too long to get that positive answer, when in fact it was just a simple geometric argument (see Lemma 1).

Slightly more generally, what’s sufficient is that the scoring rule be continuous at all the regular probabilities as well as at every point where the score is infinite.

1 comment:

Alexander R Pruss said...

I forgot to include the last part of the proof. Fixed.