I have Y~N(mean, variance), then the expected loss for each parameter, mean, E[L(mean,d*)], and variance E[L(variance,d*)]. I want to have a measure that integrates both expected losses.

  • $\begingroup$ I got it. We can do it via the expected generalised loss function! Weighted or unweighted, one of the earliest work is here: jstor.org/stable/2958163! $\endgroup$ Sep 1, 2022 at 4:59


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Browse other questions tagged or ask your own question.