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Elicitation and Identification of Properties
This video was recorded at 27th Annual Conference on Learning Theory (COLT), Barcelona 2014. Properties of distributions are real-valued functionals such as the mean, quantile or conditional value at risk. A property is elicitable if there exists a scoring function such that minimization of the associated risks recovers the property. We extend existing results to characterize the elicitability of properties in a general setting. We further relate elicitability to identifiability (a notion introduced by Osband) and provide a general formula describing all scoring functions for an elicitable property. Finally, we draw some connections to the theory of coherent risk measures.
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This work is licensed under a Attribution-NonCommercial-NoDerivs 3.0 United States
