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Relative-error prediction

Author

Listed:
  • Park, Heungsun
  • Stefanski, L. A.

Abstract

We derive the form of the best mean squared relative error predictor of Y given X. Some methods of estimating predictors with good relative error properties are proposed and studied via simulation. The methods are illustrated with an example in which county-level gasoline sales are predicted from county-level population.

Suggested Citation

  • Park, Heungsun & Stefanski, L. A., 1998. "Relative-error prediction," Statistics & Probability Letters, Elsevier, vol. 40(3), pages 227-236, October.
  • Handle: RePEc:eee:stapro:v:40:y:1998:i:3:p:227-236
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    Citations

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    Cited by:

    1. Victor Richmond R. Jose, 2017. "Percentage and Relative Error Measures in Forecast Evaluation," Operations Research, INFORMS, vol. 65(1), pages 200-211, February.
    2. Chen, Kani & Lin, Yuanyuan & Wang, Zhanfeng & Ying, Zhiliang, 2016. "Least product relative error estimation," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 91-98.
    3. Hao, Meiling & Lin, Yunyuan & Zhao, Xingqiu, 2016. "A relative error-based approach for variable selection," Computational Statistics & Data Analysis, Elsevier, vol. 103(C), pages 250-262.
    4. Gneiting, Tilmann, 2011. "Making and Evaluating Point Forecasts," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 746-762.
    5. Demongeot, Jacques & Hamie, Ali & Laksaci, Ali & Rachdi, Mustapha, 2016. "Relative-error prediction in nonparametric functional statistics: Theory and practice," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 261-268.
    6. Zhouping Li & Yuanyuan Lin & Guoliang Zhou & Wang Zhou, 2014. "Empirical likelihood for least absolute relative error regression," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(1), pages 86-99, March.
    7. Xia, Xiaochao & Liu, Zhi & Yang, Hu, 2016. "Regularized estimation for the least absolute relative error models with a diverging number of covariates," Computational Statistics & Data Analysis, Elsevier, vol. 96(C), pages 104-119.

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