Inequality for the variance of an asymmetric loss
We assume that the forecast error follows a probability distribution which is symmetric and monotonically non-increasing on non-negative real numbers, and if there is a mismatch between observed and predicted value, then we suffer a loss. Under the assumptions, we solve a minimization problem with a...
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Veröffentlicht in: | arXiv.org 2023-07 |
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Format: | Artikel |
Sprache: | eng |
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Zusammenfassung: | We assume that the forecast error follows a probability distribution which is symmetric and monotonically non-increasing on non-negative real numbers, and if there is a mismatch between observed and predicted value, then we suffer a loss. Under the assumptions, we solve a minimization problem with an asymmetric loss function. In addition, we give an inequality for the variance of the loss. |
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ISSN: | 2331-8422 |