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Used the asker's notation.
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Neil G
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You can quantify the quality of the estimator by calculating the total surprisal of all of the coin flips.

Suppose that your expert makes predictions $q_i$ for each coin. Then, given indicator variables for the index set $H$ of coins that camecoming up heads $x_i$, the total surprisal is:

\begin{align} \sum_{i \in H} -\log q_i + \sum_{i \notin H} -\log (1-q_i) \end{align}\begin{align} \sum_i\left[ -x_i\log q_i - (1-x_i)\log (1-q_i)\right]. \end{align}

The expected value of the surprisal given the true values $\{p_i\}$ is the cross-entropy: \begin{align} \sum_i \left[-p_i\log q_i -(1-p_i)\log (1-q_i)\right]. \end{align} It is nonnegative, and achieves its minimum value (the entropy of $\\{p_i\\}$) if and only if $p_i = q_i \forall i$.

If you subtract the entropy from the cross-entropy, you get the relative entropy (whose minimum value is zero). If you take $e^{-x}$ of that, you have a number in $[0, 1]$ as you wanted with a reasonable probabilistic interpretation.

You can quantify the quality of the estimator by calculating the total surprisal of all of the coin flips.

Suppose that your expert makes predictions $q_i$ for each coin. Then, given the index set $H$ of coins that came up heads, the total surprisal is:

\begin{align} \sum_{i \in H} -\log q_i + \sum_{i \notin H} -\log (1-q_i) \end{align}

The expected value of the surprisal given the true values $\{p_i\}$ is the cross-entropy: \begin{align} \sum_i \left[-p_i\log q_i -(1-p_i)\log (1-q_i)\right]. \end{align} It is nonnegative, and achieves its minimum value (the entropy of $\\{p_i\\}$) if and only if $p_i = q_i \forall i$.

You can quantify the quality of the estimator by calculating the total surprisal of all of the coin flips.

Suppose that your expert makes predictions $q_i$ for each coin. Then, given indicator variables for the coins coming up heads $x_i$, the total surprisal is:

\begin{align} \sum_i\left[ -x_i\log q_i - (1-x_i)\log (1-q_i)\right]. \end{align}

The expected value of the surprisal given the true values $\{p_i\}$ is the cross-entropy: \begin{align} \sum_i \left[-p_i\log q_i -(1-p_i)\log (1-q_i)\right]. \end{align} It is nonnegative, and achieves its minimum value (the entropy of $\\{p_i\\}$) if and only if $p_i = q_i \forall i$.

If you subtract the entropy from the cross-entropy, you get the relative entropy (whose minimum value is zero). If you take $e^{-x}$ of that, you have a number in $[0, 1]$ as you wanted with a reasonable probabilistic interpretation.

added 15 characters in body
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Neil G
  • 15.5k
  • 3
  • 49
  • 91

You can quantify the quality of the estimator by calculating the total surprisal of all of the coin flips.

Suppose that your expert makes predictions $q_i$ for each coin. Then, given the index set $H$ of coins that came up heads, the total surprisal is:

\begin{align} \sum_{i \in H} -\log q_i + \sum_{i \notin H} -\log (1-q_i) \end{align}

The expected value of this estimatorthe surprisal given the true values $\{p_i\}$ is the cross-entropy: \begin{align} \sum_i \left[-p_i\log q_i -(1-p_i)\log (1-q_i)\right]. \end{align} It is nonnegative, and achieves its minimum value (the entropy of $\{p_i\}$$\\{p_i\\}$) if and only if $p_i = q_i \forall i$.

You can quantify the quality of the estimator by calculating the total surprisal of all of the coin flips.

Suppose that your expert makes predictions $q_i$ for each coin. Then, given the index set $H$ of coins that came up heads, the total surprisal is:

\begin{align} \sum_{i \in H} -\log q_i + \sum_{i \notin H} -\log (1-q_i) \end{align}

The expected value of this estimator given $\{p_i\}$ is the cross-entropy: \begin{align} \sum_i \left[-p_i\log q_i -(1-p_i)\log (1-q_i)\right]. \end{align} It is nonnegative, and achieves its minimum value (the entropy of $\{p_i\}$) if and only if $p_i = q_i \forall i$.

You can quantify the quality of the estimator by calculating the total surprisal of all of the coin flips.

Suppose that your expert makes predictions $q_i$ for each coin. Then, given the index set $H$ of coins that came up heads, the total surprisal is:

\begin{align} \sum_{i \in H} -\log q_i + \sum_{i \notin H} -\log (1-q_i) \end{align}

The expected value of the surprisal given the true values $\{p_i\}$ is the cross-entropy: \begin{align} \sum_i \left[-p_i\log q_i -(1-p_i)\log (1-q_i)\right]. \end{align} It is nonnegative, and achieves its minimum value (the entropy of $\\{p_i\\}$) if and only if $p_i = q_i \forall i$.

Source Link
Neil G
  • 15.5k
  • 3
  • 49
  • 91

You can quantify the quality of the estimator by calculating the total surprisal of all of the coin flips.

Suppose that your expert makes predictions $q_i$ for each coin. Then, given the index set $H$ of coins that came up heads, the total surprisal is:

\begin{align} \sum_{i \in H} -\log q_i + \sum_{i \notin H} -\log (1-q_i) \end{align}

The expected value of this estimator given $\{p_i\}$ is the cross-entropy: \begin{align} \sum_i \left[-p_i\log q_i -(1-p_i)\log (1-q_i)\right]. \end{align} It is nonnegative, and achieves its minimum value (the entropy of $\{p_i\}$) if and only if $p_i = q_i \forall i$.