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Loss function - Expected loss | | Loss function - Expected loss: Encyclopedia II - Loss function - Expected loss | | A loss function satisfies the definition of a random variable so we can establish a cumulative distribution function and an expected value. However, more commonly, the loss function is expressed as a function of some other random variable. For example, the time that a light bulb operates before failure is a random variable and we can specify the loss, arising from having to cope in the dark and/or replace the bulb, as a function of failure time. For a continuous random variable X with probability density function f and loss function λ, the expected loss (som ...
See also:Loss function, Loss function - Expected loss, Loss function - Loss functions in Bayesian statistics | | | Loss function, Loss function - Expected loss, Loss function - Loss functions in Bayesian statistics, Decision theory, Genichi Taguchi | | |
| | | Loss function: Encyclopedia II - Loss function - Expected loss
Loss function - Expected loss
A loss function satisfies the definition of a random variable so we can establish a cumulative distribution function and an expected value. However, more commonly, the loss function is expressed as a function of some other random variable. For example, the time that a light bulb operates before failure is a random variable and we can specify the loss, arising from having to cope in the dark and/or replace the bulb, as a function of failure time. For a continuous random variable X with probability density function f and loss function λ, the expected loss (sometimes known as risk) is:
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Minimum expected loss (or minimum risk) is widely used as a criterion for choosing between prospects. It is closely related to the criterion of maximum expected utility.
Other related archivesBayesian inference, Decision theory, Economics, Genichi Taguchi, Leonard J. Savage, Statistics, cumulative distribution function, decision theory, economics, event, expected value, minimax, prior probability, probability density function, probability distributions, public health, random variable, real number, risk, sample space, statistics, subjective expected utility, utility, utility functions
 Adapted from the Wikipedia article "Expected loss", under the G.N U Free Docmentation License. Please also see http://en.wikipedia.org/wiki |
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