Median Predictive Cost of Error with an Asymmetric Cost Function

DOI10.1057/JORS.1989.125MaRDI QIDQ3827449zbMATH OpenOpenAlexFDO

Authors Michael Cain

Publication date 1989

Published in The Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1057/jors.1989.125

zbMATH Keywords

asymmetric cost functionGaussian processmedian solutionminimization of the median cost of the error of predictionpredictive mean

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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(3)

• On the median in imprecise ordinal problems
• Value at risk linear exponent (VARLINEX) forecasts
• Minimizing the expected value of the asymmetric loss function and an inequality for the variance of the loss

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