Examining properness in the external validation of survival models with squared and logarithmic losses (2212.05260v2)

Abstract: Scoring rules promote rational and honest decision-making, which is becoming increasingly important for automated procedures in auto-ML'. In this paper we survey common squared and logarithmic scoring rules for survival analysis and determine which losses are proper and improper. We prove that commonly utilised squared and logarithmic scoring rules that are claimed to be proper are in fact improper, such as the Integrated Survival Brier Score (ISBS). We further prove that under a strict set of assumptions a class of scoring rules is strictly proper for, what we term,approximate' survival losses. Despite the difference in properness, experiments in simulated and real-world datasets show there is no major difference between improper and proper versions of the widely-used ISBS, ensuring that we can reasonably trust previous experiments utilizing the original score for evaluation purposes. We still advocate for the use of proper scoring rules, as even minor differences between losses can have important implications in automated processes such as model tuning. We hope our findings encourage further research into the properties of survival measures so that robust and honest evaluation of survival models can be achieved.