Regular conditional probabilities and strictly proper loss functions

Michael Nielsen

Statistics & Probability Letters, 2022, vol. 185, issue C

Abstract: The main result of this paper is that, under fairly general conditions, regular conditional probabilities uniquely minimize the expected loss of a strictly proper loss function. A trivial converse to this result also allows us to characterize strict property in a purely probabilistic way.

Keywords: Regular conditional probability; Strictly proper loss functions; Expected loss; Strict propriety (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S016771522200030X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:185:y:2022:i:c:s016771522200030x

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2022.109412

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().