Statistics Statistical decision theory Concept
Risk function
Summary
The risk function of a decision rule gives, for each value of the unknown parameter, the expected loss of the rule. The data are drawn from the model with that parameter. It turns a random loss into a deterministic function of the parameter. Decision rules are compared through their risk functions, which leads to the notions of admissible, minimax and Bayes rules.
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| Tag | N26TSVRH2S |
|---|---|
| URI | m2://N26TSVRH2S |
| Kind | concept |
| Writing | W0 stub |
| MSC | 62C05 |
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Used by
- Stein's unbiased risk estimate
- Stein's example
- Bayes estimator
- Statistical decision theory
- Minimax estimator
- James–Stein estimator
- Bayes risk is at most minimax risk
- Bayes risk
- Complete class theorem
- Empirical risk minimization
- Admissible decision rule