Hoga, Yannick; Dimitriadis, Timo - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 364-376
Loss functions are widely used to compare several competing forecasts. However, forecast comparisons are often based on mismeasured proxy variables for the true target. We introduce the concept of exact robustness to measurement error for loss functions and fully characterize this class of loss...
