Statistical Inference for Score Decompositions

arXiv:2603.04275 · econ.EM, q-fin.RM, stat.ME, stat.ML · Submitted 2026-03-04 · Read on arXiv

econ.EM, q-fin.RM, stat.ME, stat.ML

Submitted: 2026-03-04

Updated: 2026-09-15

Code: https://github.com/marius-cp/SDI

License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/

Terminology

• Calibration — 63× in this paper · explained in 7 episodes
• Loss Function — 14× in this paper · explained in 2 episodes
• Verification — 12× in this paper · explained in 2 episodes
• Accuracy — 10× in this paper · explained in 1 episode
• Consistency — 9× in this paper · explained in 3 episodes
• Objective Function — 7× in this paper · explained in 2 episodes
• Robustness — 4× in this paper · explained in 5 episodes
• Generalization — 3× in this paper · explained in 13 episodes
• Core — 2× in this paper · explained in 2 episodes
• Historical Simulation — 2× in this paper
• Survey of Professional Forecasters — 2× in this paper
• Adaptation — 1× in this paper · explained in 1 episode
• Alignment — 1× in this paper · explained in 1 episode
• Clustering — 1× in this paper · explained in 2 episodes
• Heidelberg Institute for Theoretical Studies — 1× in this paper
• Higher-order derivatives — 1× in this paper · explained in 2 episodes
• Pairwise Comparisons — 1× in this paper · explained in 2 episodes
• Unified Framework — 1× in this paper · explained in 5 episodes

Sources

• Assessing the conditional calibration of interval forecasts using decompositions of the interval score
• Model Comparison and Calibration Assessment: User Guide for Consistent Scoring Functions in Machine Learning and Actuarial Practice
• The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluation

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