Measure of the accuracy of probabilistic predictions
The Brier Score is a strictly proper score function or strictly proper scoring rule that measures the accuracy of probabilistic predictions. For unidimensional predictions, it is strictly equivalent to the mean squared error as applied to predicted probabilities.
The Brier score is applicable to tasks in which predictions must assign probabilities to a set of mutually exclusive discrete outcomes or classes. The set of possible outcomes can be either binary or categorical in nature, and the probabilities assigned to this set of outcomes must sum to one (where each individual probability is in the range of 0 to 1). It was proposed by Glenn W. Brier in 1950.[1]
The Brier score can be thought of as a cost function. More precisely, across all items in a set of N predictions, the Brier score measures the mean squared difference between:
The predicted probability assigned to the possible outcomes for item i
The actual outcome
Therefore, the lower the Brier score is for a set of predictions, the better the predictions are calibrated. Note that the Brier score, in its most common formulation, takes on a value between zero and one, since this is the square of the largest possible difference between a predicted probability (which must be between zero and one) and the actual outcome (which can take on values of only 0 or 1). In the original (1950) formulation of the Brier score, the range is double, from zero to two.
The Brier score is appropriate for binary and categorical outcomes that can be structured as true or false, but it is inappropriate for ordinal variables which can take on three or more values.
^Brier (1950). "Verification of Forecasts Expressed in Terms of Probability" (PDF). Monthly Weather Review. 78 (1): 1–3. Bibcode:1950MWRv...78....1B. doi:10.1175/1520-0493(1950)078<0001:vofeit>2.0.co;2. S2CID 122906757. Archived from the original (PDF) on 2017-10-23.
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