On the ordering of probability forecasts

The paper explores the relationship between various orderings among probability forecasts that have been suggested in the literature. It is shown that well calibrated forecasters are in general not comparable according to the domination ordering suggested by Vardeman and Meeden (1983), that the orderings based on ROC-curves and Gini-curves are identical, and that the domination ordering in conjunction with semicalibration implies the rest.

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Authors:	Krämer, Prof. Dr. Walter
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
Subject:	credit risk \| probability forecasts \| calibration \| refinement \| domination

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Sankhya, 2005, pages 662-669 12 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005075726