Gneiting and Raftery (2007) | Strictly proper scoring rules, prediction, and estimation
Scoring rules are really cool, and useful. This seminal survey paper has over 6k citations as of April 2025 :o Strictly proper scoring rules, prediction, and estimation tandfonline [pdf] Scoring rules assess the quality of probabilistic forecasts, by assigning a numerical score based on the predictive distribution and on the event or value that materializes. A scoring rule is proper if the forecaster maximizes the expected score for an observation drawn from the distribution F if he or she issues the probabilistic forecast F, rather than G ≠ F....