Well, let me unroll what I had in mind.
Imagine that you need to estimate a single value, a real number, and your loss function is highly skewed. For me this would work as follows:
The point is that on the road to deciding on the course of action it's very convenient to have a biased estimate that you will take as your working hypothesis.
Yes. My point is that this new biased estimate is not your 'real estimate' - this is simply not your best guess/posterior distribution given your information. But as I remarked above your rational actions given a skewed loss function resemble the actions of a rational agent with a less risk-averse loss function with a different estimate, so in order to determine your actions you can compute what [an agent with a less skewed loss function and your (deliberately) biased estimate] would do, and then just copy those actions.
But despite all of this, you still w...
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