We provide necessary and sufficient conditions for general loss functions under which the conditional expectation is the unique optimal predictor of a random variable. Further, using such loss functions, we give an exact characterization of the difference between the two sides of Jensen's inequality.
|Original language||English (US)|
|Number of pages||1|
|Journal||IEEE International Symposium on Information Theory - Proceedings|
|State||Published - Oct 20 2004|
|Event||Proceedings - 2004 IEEE International Symposium on Information Theory - Chicago, IL, United States|
Duration: Jun 27 2004 → Jul 2 2004