Loss function for confidence sets (or credible sets) combines the maximum coverage probability and shortest interval criteria into one function - the loss function. The optimal interval will…
A decision-theoretic approach to evaluating a hypothesis test involves optimizing a loss function whose action space contains only two elements. The loss function is a two-part function that takes…
This lesson reviews point estimation from a frequentist perspective. Method of moments and maximum likelihood methods are reviewed. Following that is a discussion of decision theory, optimal…
In previous lessons, evaluations of point estimators have been based on their mean squared error (MSE) performance. MSE is a special case of a function called a loss function. The study of the…