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Consider the following logarithmic scoring rule: L(1, q) = log q and L(0, q) = log(1 q), where q is the forecasted probability of an
Consider the following logarithmic scoring rule:
L(1, q) = log q and L(0, q) = log(1 q), where q is the forecasted probability of an event E, and the loss is L(1,q) if E occurs and L(0,q) if E does not occur.
Show that this rule is a proper scoring rule, i.e., a forecaster trying to minimize her expected loss will quote her true subjective probability.
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