Model selection with Gini indices under auto-calibration

Mario V. Wüthrich

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arXiv · 2207.14372

Model selection with Gini indices under auto-calibration

Mario V. Wüthrich

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Abstract

The Gini index does not give a strictly consistent scoring rule in general. Therefore, maximizing the Gini index may lead to wrong decisions. The main issue is that the Gini index is a rank-based score that is not calibration-sensitive. We show that the Gini index allows for strictly consistent scoring if we restrict to the class of auto-calibrated regression models.

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Mario V. Wüthrich. 2022-07-28. Model selection with Gini indices under auto-calibration. https://arxiv.org/abs/2207.14372

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