Optimal Bregman prediction and Jensen's equality

Arindam Banerjee, Xin Guo, Hui Wang

Research output: Contribution to journalConference articlepeer-review

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 languageEnglish (US)
Pages (from-to)169
Number of pages1
JournalIEEE International Symposium on Information Theory - Proceedings
StatePublished - 2004
Externally publishedYes
EventProceedings - 2004 IEEE International Symposium on Information Theory - Chicago, IL, United States
Duration: Jun 27 2004Jul 2 2004

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Information Systems
  • Modeling and Simulation
  • Applied Mathematics

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