The Properties of mode prediction using mean root error for regularization

Ghudae Sim, Hyungbin Yun, Junhee Seok

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

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.

Original languageEnglish
Title of host publication1st International Conference on Artificial Intelligence in Information and Communication, ICAIIC 2019
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages509-511
Number of pages3
ISBN (Electronic)9781538678220
DOIs
Publication statusPublished - 2019 Mar 18
Event1st International Conference on Artificial Intelligence in Information and Communication, ICAIIC 2019 - Okinawa, Japan
Duration: 2019 Feb 112019 Feb 13

Publication series

Name1st International Conference on Artificial Intelligence in Information and Communication, ICAIIC 2019

Conference

Conference1st International Conference on Artificial Intelligence in Information and Communication, ICAIIC 2019
CountryJapan
CityOkinawa
Period19/2/1119/2/13

Fingerprint

Finance

Keywords

  • for predict ETF price
  • local optimal point
  • mean root error
  • mode prediction
  • non-convex optimization

ASJC Scopus subject areas

  • Electrical and Electronic Engineering
  • Computer Science Applications
  • Artificial Intelligence

Cite this

Sim, G., Yun, H., & Seok, J. (2019). The Properties of mode prediction using mean root error for regularization. In 1st International Conference on Artificial Intelligence in Information and Communication, ICAIIC 2019 (pp. 509-511). [8669016] (1st International Conference on Artificial Intelligence in Information and Communication, ICAIIC 2019). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ICAIIC.2019.8669016

The Properties of mode prediction using mean root error for regularization. / Sim, Ghudae; Yun, Hyungbin; Seok, Junhee.

1st International Conference on Artificial Intelligence in Information and Communication, ICAIIC 2019. Institute of Electrical and Electronics Engineers Inc., 2019. p. 509-511 8669016 (1st International Conference on Artificial Intelligence in Information and Communication, ICAIIC 2019).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Sim, G, Yun, H & Seok, J 2019, The Properties of mode prediction using mean root error for regularization. in 1st International Conference on Artificial Intelligence in Information and Communication, ICAIIC 2019., 8669016, 1st International Conference on Artificial Intelligence in Information and Communication, ICAIIC 2019, Institute of Electrical and Electronics Engineers Inc., pp. 509-511, 1st International Conference on Artificial Intelligence in Information and Communication, ICAIIC 2019, Okinawa, Japan, 19/2/11. https://doi.org/10.1109/ICAIIC.2019.8669016
Sim G, Yun H, Seok J. The Properties of mode prediction using mean root error for regularization. In 1st International Conference on Artificial Intelligence in Information and Communication, ICAIIC 2019. Institute of Electrical and Electronics Engineers Inc. 2019. p. 509-511. 8669016. (1st International Conference on Artificial Intelligence in Information and Communication, ICAIIC 2019). https://doi.org/10.1109/ICAIIC.2019.8669016
Sim, Ghudae ; Yun, Hyungbin ; Seok, Junhee. / The Properties of mode prediction using mean root error for regularization. 1st International Conference on Artificial Intelligence in Information and Communication, ICAIIC 2019. Institute of Electrical and Electronics Engineers Inc., 2019. pp. 509-511 (1st International Conference on Artificial Intelligence in Information and Communication, ICAIIC 2019).
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