Journal ArticleDOI
Bayesian Estimation and Prediction Using Asymmetric Loss Functions
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In this article, the authors derived the risk functions and Bayes risks for a number of well-known models and compared them with those of usual estimators and predictors, and showed that some usual predictors are inadmissible relative to the asymmetric LINEX loss by providing alternative estimators.Abstract:
Estimators and predictors that are optimal relative to Varian's asymmetric LINEX loss function are derived for a number of well-known models. Their risk functions and Bayes risks are derived and compared with those of usual estimators and predictors. It is shown that some usual estimators, for example, a scalar sample mean or a scalar least squares regression coefficient estimator, are inadmissible relative to asymmetric LINEX loss by providing alternative estimators that dominate them uniformly in terms of risk.read more
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Book
Handbook of Economic Forecasting
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Book ChapterDOI
Chapter 4 Forecast Combinations
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A Survey of Predictive Modeling on Imbalanced Domains
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TL;DR: In this article, the authors proposed a Bayesian inference method based on the prior distribution of the probability distributions of the classes of a set of classes in a class with respect to the probability distribution of each class.
References
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MonographDOI
Statistical Prediction Analysis
John Aitchison,I. R. Dunsmore +1 more
TL;DR: This paper presents a meta-modelling procedure that automates the very labor-intensive and therefore time-heavy and expensive and expensive process of manually cataloging and forecasting the distribution of distributions in a discrete-time manner.
Journal ArticleDOI
Confidence Sets for the Mean of a Multivariate Normal Distribution
TL;DR: In this article, an attempt is made to determine confidence sets for the mean of a multivariate normal distribution with known covariance matrix that take advantage of the fact that the sample mean is not the best estimate when the loss is a nonsingular quadratic function of the error vector.