A predictive distribution is a forecast of the whole conditional distribution of the target. A scoring rule gives a loss to a forecast when occurs; it is a proper scoring rule if its expected value under the true distribution is minimised by forecasting , so that honesty is optimal (Gneiting and Raftery, 2007). The negative log-likelihood is proper; so are the two rules below.
Quantitative Finance · Glosarium
Apa itu Predictive distribution, proper scoring rule?
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