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arXiv · 1907.08369

Minimizing the expected value of the asymmetric loss and an inequality of the variance of the loss

Naoya Yamaguchi·Yuka Yamaguchi·Ryuei Nishii
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Abstract

For some estimations and predictions, we solve minimization problems with asymmetric loss functions. Usually, we estimate the coefficient of regression for these problems. In this paper, we do not make such the estimation, but rather give a solution by correcting any predictions so that the prediction error follows a general normal distribution. In our method, we can not only minimize the expected value of the asymmetric loss, but also lower the variance of the loss.

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Naoya Yamaguchi, Yuka Yamaguchi, Ryuei Nishii. 2019-07-18. Minimizing the expected value of the asymmetric loss and an inequality of the variance of the loss. https://doi.org/10.1080/02664763.2020.1761951

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