Abstract
We provide necessary and sufficient conditions for general loss functions under which the conditional expectation is the unique optimal predictor of a random variable. Further, using such loss functions, we give an exact characterization of the difference between the two sides of Jensen's inequality.
Original language | English (US) |
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Pages (from-to) | 169 |
Number of pages | 1 |
Journal | IEEE International Symposium on Information Theory - Proceedings |
State | Published - 2004 |
Externally published | Yes |
Event | Proceedings - 2004 IEEE International Symposium on Information Theory - Chicago, IL, United States Duration: Jun 27 2004 → Jul 2 2004 |
ASJC Scopus subject areas
- Theoretical Computer Science
- Information Systems
- Modeling and Simulation
- Applied Mathematics