On the mean squared error, the mean absolute error and the like

Shaul K. Bar-Lev, Benzion Boikai, Peter Enis

Research output: Contribution to journalArticlepeer-review

Abstract

The problem of finding the minimizer of the rth-mean error, E(|X-c|r), r = 1,2, . . . , is revisited, via a unified approach. The approach is discussed for arbitrary r and is illustrated for r = 1 (mean absolute error), r = 2 (mean squared error), and r = 4. This approach is also discussed in the context of maximum likelihood estimation in a class of symmetric distributions which includes, among others, the Laplace and the normal distributions.

Original languageEnglish
Pages (from-to)1813-1822
Number of pages10
JournalCommunications in Statistics - Theory and Methods
Volume28
Issue number8
DOIs
StatePublished - 1999

Keywords

  • MSE
  • Maximum Likelihood Estimation
  • Prediction

ASJC Scopus subject areas

  • Statistics and Probability

Fingerprint

Dive into the research topics of 'On the mean squared error, the mean absolute error and the like'. Together they form a unique fingerprint.

Cite this