Variable transformations in consistent loss functions
arXiv:2502.16542v3 Announce Type: replace Abstract: The empirical use of variable transformations within (strictly) consistent loss functions is widespread, yet a theoretical understanding is lacking. To address this gap, we develop a theoretical framework that establishes formal characterizations of (strict) consistency for such transformed loss functions. Our analysis focuses on two interrelated cases: (a) transformations applied solely to the realization variable and (b) bijective transformations applied jointly to both the realization and prediction variables. These cases extend the well-established […]