M. Cain et C. Janssen, REAL-ESTATE PRICE PREDICTION UNDER ASYMMETRIC LOSS, Annals of the Institute of Statistical Mathematics, 47(3), 1995, pp. 401-414
Citations number
11
Categorie Soggetti
Statistic & Probability",Mathematics,"Statistic & Probability
This paper deals with the problem of how to adjust a predictive mean i
n a practical situation of prediction where there is asymmetry in the
loss function. A standard linear model is considered for predicting th
e price of real estate using a normal-gamma conjugate prior for the pa
rameters. The prior of a subject real estate agent is elicited ut, for
comparison, a diffuse prior is also considered. Three loss functions
are used: asymmetric linear, asymmetric quadratic and LINEX, and the p
arameters under each of these postulated forms are elicited. Theoretic
al developments for prediction under each loss function in the presenc
e of normal errors are presented and useful tables of adjustment facto
r values given. Predictions of the dependent price variable for two pr
operties with differing characteristics are made under each loss funct
ion and the results compared.