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by DavidSJ
2036 days ago
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The introduction here appears to explain: https://projecteuclid.org/download/pdfview_1/euclid.ejs/1473... Starting from the observation that the expectation of X is the constant c which minimizes the squared loss E[(X - c)^2], we can now generalize expectation by generalizing the loss function we aim to minimize. They do this by asymmetrically weighting over- or under-estimates, unlike the squared loss which is symmetric. This apparently has nice properties which the paper goes into. |
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