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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.

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  • $\begingroup$ 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! $\endgroup$
    – Hakiim Jamaluddin
    Sep 1, 2022 at 4:59

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