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[CCICADA-announce] DIMACS/CCICADA Interdisciplinary SeminarSeries - Monday, April 30, 2012

Linda Casals lindac at
Tue Apr 24 09:25:11 EDT 2012


DIMACS/CCICADA Interdisciplinary Seminar Series Presents

Title: Evaluating Probability Forecasts

Speaker: Shulamith Gross, Baruch College of The City University of New York

Date: Monday, April 30, 2012 11:00am - 12:00pm

Location: DIMACS Center, CoRE Bldg, Room 431, Rutgers University                 
             Busch Campus, Piscataway, NJ


This work was done in collaboration with Tze Leung Lai of Stanford
University, and Catherine Huber of Paris V.

Probability forecasts of events are routinely used in climate
predictions, in forecasting default probabilities on bank loans, or in
estimating the probability of a patient's positive response to
treatment. Scoring rules have long been used to assess the efficacy of
the forecast probabilities after observing the occurrence, or
non-occurrence, of the predicted events. We develop a statistical
theory for scoring rules and propose an alternative approach to the
evaluation of probability forecasts. This approach uses loss functions
relating the predicted to the actual probabilities of the events, and
applies martingale theory to exploit the temporal structure between
the forecast and the subsequent occurrence or non-occurrence of the

In Epidemiology, a variety of indices, such as IDI (Integrated
Discrimination Improvement), NRI (Net Reclassification Improvement),
predictiveness curve, the area under the ROC curve and difference in
PEV (Proportion Explained Variation), between models are routinely
used, often without adequate inferential tools. We provide such tools
for the IDI and the Brier Score difference when models are estimated
and indices are computed on the same data.

DIMACS/CCICADA Interdisciplinary Series, Complete Spring Calendar 2012

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