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Quantitative Finance · Glossary

What is Brier score?

Definition 26.2 The Desk and the Firm · Chapter 26 — Culture and Decision-Making

The Brier score of probability forecasts pip_i of binary outcomes yi∈{0,1}y_i\in\{0,1\} is the mean squared error 1N∑i(pi−yi)2\frac1N\sum_i(p_i-y_i)^2: zero for perfect forecasts, 0.25 for a constant forecast of one half, lower is better.

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