A New Nonparametric Method for Prediction Based on Mean Squared Relative Errors Jeong, Seok-Oh; Shin, Key-Il;
It is common in practice to use mean squared error(MSE) for prediction. Recently, Park and Shin (2005) and Jones et al. (2007) studied prediction based on mean squared relative error(MSRE). We proposed a new nonparametric way of prediction based on MSRE substituting Jones et al. (2007) and provided a small simulation study which highly supports the proposed method.
Mean squared error;mean squared relative error;prediction;kernel smoothing;