M. Cain, PREDICTION ADJUSTMENTS FOR ASYMMETRIC QUADRATIC LOSS WITH A GAUSSIAN PROCESS, The Journal of the Operational Research Society, 45(10), 1994, pp. 1179-1184
Citations number
6
Categorie Soggetti
Management,"Operatione Research & Management Science","Operatione Research & Management Science
This paper presents a table of values of an adjustment factor to be us
ed in predicting future values of a Gaussian process in the presence o
f asymmetric quadratic loss and which are helpful in the control of su
ch a process. It is shown that in this case the optimal prediction is
merely an additive adjustment to the conditional mean, the adjustment
being the product of the standard deviation and the appropriate tabula
ted value.