Distinguished Professor Noel Cressie visited RSFAS on Wednesday 24 April and because of the Anzac Day holiday, Noel gave his seminar a day earlier than usual. I was pleased to join around twenty others in person whose schedules accommodated the change in day.
Noel’s title is quite technical and much of his talk addressed formulations and theoretical results. Nonetheless as always his research has been motivated by pressing real problem, particularly in the area of climate change. One of the applications of the work discussed today was how to deal with predictions of extreme weather events e.g. flood levels, where underprediction has very different implications to overprediction. This is the asymmetric loss of the talk’s title.
The proposed asymmetric loss function in this talk was a power-divergence loss which i based on a ratio not a difference. The well-known Kullback-Leibler distance is a special case of this family of loss functions, giving it a nice grounding in familiar territory.
Noel illustrated the theory with an oldie-but-a-goodie example of zinc concentrations in soil on the floodplain of the River Meuse in the Netherlands. He also alluded to recent flood events in Australia to help bring local relevance to the examples.
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