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September, 1988 Loss Functions for Loss Estimation
Andrew L. Rukhin
Ann. Statist. 16(3): 1262-1269 (September, 1988). DOI: 10.1214/aos/1176350960

Abstract

A class of proper scoring functions which combine the error in a decision problem and the precision of the statistical decision rule is introduced. The Bayesian procedures with respect to these loss functions are pairs formed by the usual Bayes decision and by the expected posterior loss. A necessary and sufficient condition for admissibility under the corresponding risk is given.

Citation

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Andrew L. Rukhin. "Loss Functions for Loss Estimation." Ann. Statist. 16 (3) 1262 - 1269, September, 1988. https://doi.org/10.1214/aos/1176350960

Information

Published: September, 1988
First available in Project Euclid: 12 April 2007

zbMATH: 0672.62011
MathSciNet: MR959201
Digital Object Identifier: 10.1214/aos/1176350960

Subjects:
Primary: 62C15
Secondary: 62A15, 62C10

Rights: Copyright © 1988 Institute of Mathematical Statistics

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Vol.16 • No. 3 • September, 1988
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