Loss function: Difference between revisions

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====Frequentist expected loss====

We first define the expected loss in the frequentist context. It is obtained by taking the expected value with respect to the [[probability distribution]], ''P''_{''θ''</math>theta</math>}, of the observed data, ''X''. This is also referred to as the '''risk function'''<ref>{{SpringerEOM| title=Risk of a statistical procedure |id=R/r082490 |first=M.S. |last=Nikulin}}</ref><ref>

{{cite book

|title=Statistical decision theory and Bayesian Analysis