Article ID: | iaor19951542 |
Country: | United Kingdom |
Volume: | 45 |
Issue: | 10 |
Start Page Number: | 1179 |
End Page Number: | 1184 |
Publication Date: | Oct 1994 |
Journal: | Journal of the Operational Research Society |
Authors: | Cain M. |
Keywords: | time series & forecasting methods |
This paper presents a table of values of an adjustment factor to be used in predicting future values of a Gaussian process in the presence of asymmetric quadratic loss and which are helpful in the control of such a process. It is shown that in this case the optimal prediction is merely an additive adjustment to the conditional mean, the adjustment being the product of the standard deviation and the appropriate tabulated value.