Property elicitation on imprecise probabilities

Property elicitation studies which attributes of a probability distribution can be determined by minimising a risk. We investigate a generalisation of property elicitation to imprecise probabilities (IP). This investigation is motivated by multi-distribution learning, which takes the classical machine learning paradigm of minimising a single risk over a (precise) probability and replaces it with \(\Gamma\)-maximin risk minimization over an IP. We provide necessary conditions for elicitability of a IP-property. Furthermore, we explain what an elicitable IP-property actually elicits through Bayes pairs – the elicited IP-property is the corresponding standard property of the maximum Bayes risk distribution.