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Rationality testing under asymmetric loss

โœ Scribed by Roy Batchelor; David A. Peel


Book ID
117333326
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
47 KB
Volume
61
Category
Article
ISSN
0165-1765

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## Abstract An optimality criterion for forecast intervals under asymmetric loss functions is proposed. A loss optimal forecast interval is obtained by requiring that the expected loss, conditional on a future realization within the desired interval, be minimal. The main difficulty in the context o