Inequality for the variance of an asymmetric loss

Naoya Yamaguchi; Yuka Yamaguchi; Maiya Hori

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arXiv · 2301.00105

Inequality for the variance of an asymmetric loss

Naoya Yamaguchi·Yuka Yamaguchi·Maiya Hori

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Abstract

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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Naoya Yamaguchi, Yuka Yamaguchi, Maiya Hori. 2022-12-31. Inequality for the variance of an asymmetric loss. https://arxiv.org/abs/2301.00105

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