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math.ST2023
Inequality for the variance of an asymmetric loss
Naoya Yamaguchi, Yuka Yamaguchi, Maiya Hori
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 be…
math.ST2019★ 2 cited
Minimizing the expected value of the asymmetric loss and an inequality of the variance of the loss
Naoya Yamaguchi, Yuka Yamaguchi, Ryuei Nishii
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…