Statistics Statistical decision theory Concept
Loss function
Summary
A loss function assigns a number to each pair of a true state of nature and an action. The number measures the cost of taking that action in that state. In statistics the state is an unknown parameter and the action is often an estimate. Loss functions are the starting point of statistical decision theory: averaging the loss over the data gives the risk, by which procedures are compared.
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| Tag | 3BTG6VVCGZ |
|---|---|
| URI | m2://3BTG6VVCGZ |
| Kind | concept |
| Writing | W0 stub |
| MSC | 62C05 |
| Same as |
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Used by
- Bayes estimator
- Statistical decision theory
- Huber loss
- Quantile regression
- Statistical learning theory
- Empirical risk minimization
- Risk function
- Cross-validation