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Scoring probability forecasts for point processes: the entropy score and information gain

Part of: Inference from stochastic processes Stochastic processes

Published online by Cambridge University Press:  14 July 2016

Daryl J. Daley  and
David Vere-Jones
Daryl J. Daley
Affiliation:
Centre for Mathematics and Its Applications, Mathematical Sciences Institute, Australian National University, Canberra, ACT 0200, Australia. Email address: [email protected]
David Vere-Jones
Affiliation:
School of Mathematical and Computing Sciences, Victoria University of Wellington, PO Box 600, Wellington, New Zealand. Email address: [email protected]
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Abstract

The entropy score of an observed outcome that has been given a probability forecast p is defined to be –log p. If p is derived from a probability model and there is a background model for which the same outcome has probability π, then the log ratio log(p/π) is the probability gain, and its expected value the information gain, for that outcome. Such concepts are closely related to the likelihood of the model and its entropy rate. The relationships between these concepts are explored in the case that the outcomes in question are the occurrence or nonoccurrence of events in a stochastic point process. It is shown that, in such a context, the mean information gain per unit time, based on forecasts made at arbitrary discrete time intervals, is bounded above by the entropy rate of the point process. Two examples illustrate how the information gain may be related to realizations with a range of values of ‘predictability'.

Keywords

Entropy scoreprobability gaininformation gain

MSC classification

Primary: 60G25: Prediction theory
Secondary: 62M20: Prediction
Type
Part 6. Stochastic processes
Information
Journal of Applied Probability , Volume 41 , Issue A: Stochastic Methods and their Applications , 2004 , pp. 297 - 312
Copyright
Copyright © Applied Probability Trust 2004 

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