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A function used to quantify the difference between observed data and predicted values according to a model. Minimization of loss functions is a way to estimate the parameters of the model.

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Why is "unbiased" estimator more important than min-error estimator?

According to Edwin Jaynes (Chapter 17 of his book Probability Theory: the Logic of Science), the mean squared error of an estimator consists of bias term and variance term, that is: $$L =E[(\beta - \a …
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