Prediction adjustments for asymmetric quadratic loss with a Gaussian process

Prediction adjustments for asymmetric quadratic loss with a Gaussian process

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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:
Keywords: time series & forecasting methods
Abstract:

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.

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