Estimating Loss Functions of Experts

@inproceedings{Franses2011EstimatingLF,
  title={Estimating Loss Functions of Experts},
  author={Philip Hans Franses and Rianne Legerstee and Richard Paap},
  year={2011}
}
We propose a new and simple methodology to estimate the loss function associated with experts’ forecasts. Under the assumption of conditional normality of the data and the forecast distribution, the asymmetry parameter of the lin-lin and linex loss function can easily be estimated using a linear regression. This regression also provides an estimate for… CONTINUE READING