Inequality for the variance of an asymmetric loss

Autor:	Yamaguchi, Naoya, Yamaguchi, Yuka, Hori, Maiya
Rok vydání:	2022
Předmět:	Mathematics - Statistics Theory 26D15 62A99
Druh dokumentu:	Working Paper
Popis:	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.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2301.00105 Zobrazit plný text záznamu View this record from Arxiv