Abstract:In this chapter, we have investigated six loss functions. In particular, the squared error loss function and the weighted squared error loss function that penalize overestimation and underestimation equally are recommended for the unrestricted parameter space À∞; ∞ ðÞ ; Stein's loss function and the power-power loss function, which penalize gross overestimation and gross underestimation equally, are recommended for the positive restricted parameter space 0; ∞ ðÞ ; the power-log loss function and Zhang's loss f… Show more
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