Inequality for the variance of an asymmetric loss
Statistics Theory
2023-07-06 v2 Statistics Theory
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.
Keywords
Cite
@article{arxiv.2301.00105,
title = {Inequality for the variance of an asymmetric loss},
author = {Naoya Yamaguchi and Yuka Yamaguchi and Maiya Hori},
journal= {arXiv preprint arXiv:2301.00105},
year = {2023}
}