Inequality for the variance of an asymmetric loss

DOI10.7153/JMI-2023-17-58arXiv2301.00105OpenAlexW4387716625MaRDI QIDQ6054133

Maiya Hori, Naoya Yamaguchi, Yuka Yamaguchi

Publication date: 24 October 2023

Published in: Journal of Mathematical Inequalities (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2301.00105

zbMATH Keywords

asymmetric lossinequality on variance

Mathematics Subject Classification ID

Inequalities for sums, series and integrals (26D15) Analysis of variance and covariance (ANOVA) (62J10) Systems of functional equations and inequalities (39B72)

Cites Work

• A generalized normal distribution
• Analytical properties of generalized Gaussian distributions
• Minimising the expectation value of the procurement cost in electricity markets based on the prediction error of energy consumption
• Minimizing the expected value of the asymmetric loss function and an inequality for the variance of the loss

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