Reliability, Sufficiency, and the Decomposition of Proper Scores

TL;DR

This paper extends the decomposition of proper scoring rules from binary to finite-valued forecasts, linking resolution and reliability to forecast quality and providing an epistemological justification for their use.

Contribution

It generalizes the decomposition of proper scores to finite-valued targets and relates forecast attributes to score components, supporting their role in forecast evaluation.

Findings

Resolution and reliability positively influence the score.

Resolution and reliability are linked to desirable forecast attributes.

The decomposition provides an epistemological basis for using proper scores.

Abstract

Scoring rules are an important tool for evaluating the performance of probabilistic forecasting schemes. In the binary case, scoring rules (which are strictly proper) allow for a decomposition into terms related to the resolution and to the reliability of the forecast. This fact is particularly well known for the Brier Score. In this paper, this result is extended to forecasts for finite--valued targets. Both resolution and reliability are shown to have a positive effect on the score. It is demonstrated that resolution and reliability are directly related to forecast attributes which are desirable on grounds independent of the notion of scores. This finding can be considered an epistemological justification of measuring forecast quality by proper scores. A link is provided to the original work of DeGroot et al (1982), extending their concepts of sufficiency and refinement. The relation to the conjectured sharpness principle of Gneiting et al (2005a) is elucidated.