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Convex Elicitation of Continuous Properties
Jessica Finocchiaro · Rafael Frongillo

Wed Dec 05 07:45 AM -- 09:45 AM (PST) @ Room 210 #73

A property or statistic of a distribution is said to be elicitable if it can be expressed as the minimizer of some loss function in expectation. Recent work shows that continuous real-valued properties are elicitable if and only if they are identifiable, meaning the set of distributions with the same property value can be described by linear constraints. From a practical standpoint, one may ask for which such properties do there exist convex loss functions. In this paper, in a finite-outcome setting, we show that in fact every elicitable real-valued property can be elicited by a convex loss function. Our proof is constructive, and leads to convex loss functions for new properties.

Author Information

Jessica Finocchiaro (University of Colorado Boulder)
Rafael Frongillo (CU Boulder)

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