Median Predictive Cost of Error with an Asymmetric Cost Function
作者:
CainMichael,
期刊:
Journal of the Operational Research Society
(Taylor Available online 1989)
卷期:
Volume 40,
issue 8
页码: 735-740
ISSN:0160-5682
年代: 1989
DOI:10.1057/jors.1989.125
出版商: Taylor&Francis
关键词: asymmetric cost function;median cost;prediction
数据来源: Taylor
摘要:
AbstractThe problem of reducing predictive cost is considered in the case when the cost of error function is not symmetric and the optimality criterion is the minimization of the median cost of the error of prediction. Examples are given and comparisons made with the usual solution based on the minimization of the mean cost. In the case of a Gaussian process, the median solution is found to be a simple additive adjustment to the predictive mean, and far easier to compute than the solution based on expected cost.
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