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What are arguments against using the (log-)likelihood as a loss function?
Context: My goal is to fit a GEV distribution function to data $z$, where the location parameter is parametrised as linear combination of predictor variables $\mu(\vec{x}) = \mu_0 + \mu_1 x_1 + ...$ (...
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Is it meaningful to regularise a GEV log-likelihood?
Situation/Data: I'd like to start with an example from climate science. Suppose you have a univariate time series $\vec{z} = (z_1, z_2, ..., z_n)^T$, where $z_t$ are block maxima of time step $t\in1,.....
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