Model selection with Gini indices under auto-calibration. (arXiv:2207.14372v3 [cs.LG] UPDATED)

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.

arxiv lg model selection