Canonical Variables as Optimal Predictors
نویسندگان
چکیده
منابع مشابه
Quantiles as Optimal Point Predictors
The loss function plays a central role in the theory and practice of forecasting. If the loss is quadratic, the mean of the predictive distribution is the unique optimal point predictor. If the loss is linear, any median is an optimal point forecast. The title of the paper refers to the simple, possibly surprising fact that quantiles arise as optimal point predictors under a general class of ec...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1980
ISSN: 0090-5364
DOI: 10.1214/aos/1176345079