We propose a new and simple methodology to estimate the loss function associated with experts’ forecasts. Under the assumption of conditional normality of the data and the forecast distribution, the asymmetry parameter of the lin-lin and linex loss function can easily be estimated using a linear regression. This regression also provides an estimate for potential systematic bias in the forecasts...

Recent research suggests that optimistically biased earnings forecasts issued by analysts are attributable to analysts minimizing symmetric, linear loss functions. We test an alternative explanation, namely that analysts have asymmetric loss functions. Theory predicts that if loss functions are asymmetric then forecast error bias depends on forecast error variance, but not necessarily on skewne...

Boosting is known as a gradient descent algorithm over loss functions. It is often pointed out that the typical boosting algorithm, Adaboost, is highly affected by outliers. In this letter, loss functions for robust boosting are studied. Based on the concept of robust statistics, we propose a transformation of loss functions that makes boosting algorithms robust against extreme outliers. Next, ...

We study the problem of multiset prediction. The goal of multiset prediction is to train a predictor that maps an input to a multiset consisting of multiple items. Unlike existing problems in supervised learning, such as classification, ranking and sequence generation, there is no known order among items in a target multiset, and each item in the multiset may appear more than once, making this ...

This paper presents some results for solving prediction problems under general asymmetric loss functions. We prove existence of the optimal predictor and uniqueness under certain additional assumption fulllled for instance by convex prediction error loss. Furthermore we study the question of niteness of the optimal predictor for prediction error loss with saturation.

The paper describes a new F0 model based on auditive learning (AL) method. Being focused on the notion of prosody templates, we confirmed that F0 patterns for a syllable can be extracted from various anamorphosis of F0 contours in spontaneous speech. It is much suitable to use F0 templates selection method for Chinese F0 prediction with prosody cost function (PCF). Furthermore, an AL method is ...

This manuscript considers the convergence rate of boosting under a large class of losses, including the exponential and logistic losses, where the best previous rate of convergence was O(exp(1/ )). First, it is established that the setting of weak learnability aids the entire class, granting a rate O(ln(1/ )). Next, the (disjoint) conditions under which the infimal empirical risk is attainable ...

INTRODUCTION As the two major industry rating bureaus currently grapple with the problems of appropriate Table M charges, this paper must be considered particularly timely. The concept of parameter risk as an integral part of the total risk inherent in any insurance contract has long been recognized and discussed by actuaries. Although not always an equal partner with process risk in terms of e...