Why scoring functions cannot assess tail properties

Jonas R. Brehmer, Kirstin Strokorb

Research output: Contribution to journalArticlepeer-review

20 Citations (SciVal)

Abstract

Motivated by the growing interest in sound forecast evaluation techniques with an emphasis on distribution tails rather than average behaviour, we investigate a fundamental question arising in this context: Can statistical features of distribution tails be elicitable, i.e. be the unique minimizer of an expected score? We demonstrate that expected scores are not suitable to distinguish genuine tail properties in a very strong sense. Specifically, we introduce the class of max-functionals, which contains key characteristics from extreme value theory, for instance the extreme value index. We show that its members fail to be elicitable and that their elicitation complexity is in fact infinite under mild regularity assumptions. Further we prove that, even if the information of a max-functional is reported via the entire distribution function, a proper scoring rule cannot separate max-functional values. These findings highlight the caution needed in forecast evaluation and statistical inference if relevant information is encoded by such functionals.
Original languageEnglish
Pages (from-to)4015-4034
JournalElectronic Journal of Statistics
Early online date5 Oct 2019
DOIs
Publication statusPublished - 5 Oct 2019

Acknowledgements

Jonas Brehmer gratefully acknowledges support by the German Research Foundation
(DFG) through the Research Training Group RTG 1953. The authors
would also like to thank Tilmann Gneiting, Fabian Kr¨uger and Martin Schlather
for their valuable comments.

Keywords

  • consistency
  • elicitability
  • elicitation complexity ,
  • extreme value index
  • max-functional
  • proper scoring rule
  • scoring functions
  • tail equivalence

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