Elicitation for Sets of Probabilities and Distributions
Abstract
We investigate techniques for applying strictly proper scoring rules to elicit arbitrary sets of probabilities for an event and for eliciting sets of countably additive (finite dimensional) joint distributions. We contrast E-admissibility, Maximality, and $\Gamma$-Maximin as three IP decision rules for these elicitations. The techniques we investigate apply with sets of probabilities that need not be convex or even connected, and with distributions that may lack moments. We address some challenges to applying these techniques for eliciting merely finitely additive probability distributions.
Cite
Text
Schervish et al. "Elicitation for Sets of Probabilities and Distributions." Proceedings of the Fourteenth International Symposium on Imprecise Probabilities: Theories and Applications, 2025.Markdown
[Schervish et al. "Elicitation for Sets of Probabilities and Distributions." Proceedings of the Fourteenth International Symposium on Imprecise Probabilities: Theories and Applications, 2025.](https://mlanthology.org/isipta/2025/schervish2025isipta-elicitation/)BibTeX
@inproceedings{schervish2025isipta-elicitation,
title = {{Elicitation for Sets of Probabilities and Distributions}},
author = {Schervish, Mark J. and Seidenfeld, Teddy and Gong, Ruobin and Kadane, Joseph B. and Stern, Rafael B.},
booktitle = {Proceedings of the Fourteenth International Symposium on Imprecise Probabilities: Theories and Applications},
year = {2025},
pages = {242-251},
volume = {290},
url = {https://mlanthology.org/isipta/2025/schervish2025isipta-elicitation/}
}