Linear probability score 2026-10-07
For a binary outcome, rewarding the reported probability of the realized outcome gives expected score under genuine probability . The optimal report is an endpoint whenever , so this is not a proper scoring rule.
A scoring rule in the reward convention gives for announcing the probability distribution and then observing . Under genuine belief , the expected score is
A proper scoring rule satisfies for every admissible . A strictly proper scoring rule additionally requires equality only when the distributions coincide:
The expected scores must be well defined. A loss convention reverses the inequalities, but the question uses rewards.
Scoring rule 2026-10-07
A scoring rule assigns a reward or loss to an announced probability distribution and realized outcome. In the reward convention, a proper scoring rule makes truthful reporting maximize expected reward; the loss convention reverses the comparison.
A proper scoring rule is strictly proper when truthful reporting is the unique optimizing distribution. For densities, equality is understood almost everywhere relative to the reference measure.