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Proper Scoring Rules for General Decision Models

Chambers, Christopher P. (2005) Proper Scoring Rules for General Decision Models. Social Science Working Paper, 1231. California Institute of Technology , Pasadena, CA. (Unpublished) http://resolver.caltech.edu/CaltechAUTHORS:20170808-144357937

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Abstract

On the domain of Choquet expected utility preferences with risk neutral lottery evaluation and totally monotone capacities, we demonstrate that proper scoring rules do not exist. This implies the non-existence of proper scoring rules for any larger class of preferences (CEU with convex capacities, multiple priors). We also show that if an agent whose behavior conforms to the multiple priors model is faced with a scoring rule for a subjective expected utility agent, she will always announce a probability belonging to her set of priors; moreover, for any prior in the set, there exists such a scoring rule inducing the agent to announce that prior.


Item Type:Report or Paper (Working Paper)
Additional Information:I would like to thank Federico Echenique, PJ Healy, and John Ledyard for useful comments and suggestions. All errors are my own.
Group:Social Science Working Papers
Subject Keywords:scoring rule, proper scoring rule, subjective expected utility, Choquet expected utility, multiple priors, implementation, probability elicitation
Classification Code:JEL: D81, C49
Record Number:CaltechAUTHORS:20170808-144357937
Persistent URL:http://resolver.caltech.edu/CaltechAUTHORS:20170808-144357937
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:79958
Collection:CaltechAUTHORS
Deposited By: Hanna Storlie
Deposited On:09 Aug 2017 18:36
Last Modified:09 Aug 2017 18:36

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