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

DOI10.1080/02664763.2020.1761951OpenAlexW3022562706MaRDI QIDQ5861177

Naoya Yamaguchi, Yuka Yamaguchi, Ryuei Nishii

Publication date: 4 March 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2020.1761951

zbMATH Keywords

gamma functionasymmetric loss functionrisk functiongeneralized Gaussian distributionminimizing expectation value

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Statistical distribution theory (62E99) Foundational topics in statistics (62A99)

Related Items

Inequality for the variance of an asymmetric loss ⋮ Editorial to the special issue: Recent statistical methods for data analysis, applied economics, business & finance

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