TY - GEN
T1 - The Properties of mode prediction using mean root error for regularization
AU - Sim, Ghudae
AU - Yun, Hyungbin
AU - Seok, Junhee
N1 - Funding Information:
This work was supported by the National Research Foundation of Korea grant (NRF-2017R1C1B2002850) and Korea University grant (K1822271) as well as a grant from Mirae Asset Global Investments. Correspondence should be addressed to jseok14@korea.ac.kr.
Publisher Copyright:
© 2019 IEEE.
PY - 2019/3/18
Y1 - 2019/3/18
N2 - While it is popular, estimating empirical distribution from observed data using MSE (Mean Squared Error) is often inefficient because it focuses on expectation. To address this problem, here we invest a new type of error term, named MRE (Mean Root Error). Different from MSE, MRE can predict the local mode point rather than the expectation. From numerical studies, we show that MRE models shows more robust and accurate prediction performance, which will be useful for complicated data such as finance data.
AB - While it is popular, estimating empirical distribution from observed data using MSE (Mean Squared Error) is often inefficient because it focuses on expectation. To address this problem, here we invest a new type of error term, named MRE (Mean Root Error). Different from MSE, MRE can predict the local mode point rather than the expectation. From numerical studies, we show that MRE models shows more robust and accurate prediction performance, which will be useful for complicated data such as finance data.
KW - for predict ETF price
KW - local optimal point
KW - mean root error
KW - mode prediction
KW - non-convex optimization
UR - http://www.scopus.com/inward/record.url?scp=85063873778&partnerID=8YFLogxK
U2 - 10.1109/ICAIIC.2019.8669016
DO - 10.1109/ICAIIC.2019.8669016
M3 - Conference contribution
AN - SCOPUS:85063873778
T3 - 1st International Conference on Artificial Intelligence in Information and Communication, ICAIIC 2019
SP - 509
EP - 511
BT - 1st International Conference on Artificial Intelligence in Information and Communication, ICAIIC 2019
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 1st International Conference on Artificial Intelligence in Information and Communication, ICAIIC 2019
Y2 - 11 February 2019 through 13 February 2019
ER -