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Model selection with Gini indices under auto-calibration (2207.14372v3)
Published 28 Jul 2022 in cs.LG and stat.ML
Abstract: The Gini index does not give a strictly consistent scoring rule in general. Therefore, maximizing the Gini index may lead to wrong decisions. The main issue is that the Gini index is a rank-based score that is not calibration-sensitive. We show that the Gini index allows for strictly consistent scoring if we restrict to the class of auto-calibrated regression models.
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