Boosting on the responses with Tweedie loss functions

Michel Denuit (), Julien Trufin () and Thomas Verdebout
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Michel Denuit: Université catholique de Louvain, LIDAM/ISBA, Belgium
Julien Trufin: ULB
Thomas Verdebout: ULB

No 2022039, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: Hainaut et al. (2022) showed that boosting can be conducted directly on the response under Tweedie loss function and log-link, by adapting the weights at each iteration step. In this short note, we complete the results obtained in Hainaut et al. (2022) by showing that among the usual link functions, the log-link function is actually the only one for which boosting can be regarded as an iteratively re-weighted procedure applied to the original data.

Pages: 5
Date: 2022-01-28
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