Model selection with Gini indices under auto-calibration.

The Gini index does not give a strictly consistent scoring function. Therefore, simply maximizing the Gini index may lead to a wrong model choice. 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 it to the class of auto-calibrated regression models. That is, on the class of auto-calibrated models we know that the true model maximizes the Gini index. [ABSTRACT FROM AUTHOR]