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Jérémy Andréoletti's avatar

Nice idea! But a mall question: is the Brier Index still strictly proper? My understanding is that propriety is preserved under positive affine transformations, but not necessarily under arbitrary monotonic ones? E.g. for n = 1, the BI reduces to 100(1 − |f−o|)(absolute error), which is generally not strictly proper. I might be missing something about the aggregation though.

https://en.wikipedia.org/wiki/Scoring_rule#Affine_transformation

https://stats.stackexchange.com/questions/145875/alternative-notions-to-that-of-proper-scoring-rules-and-using-scoring-rules-to

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