Abstract
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 |