The Asymptotic Equivalence of Level-Based and Share-Based Loss Functions

Abstract: Level-based and share-based loss functions are asymptotically equivalent if, in the limit, their averages converge almost surely to a constant ratio. These loss functions take a target value and its realization as arguments and are often used to measure accuracy. The equivalence is proved for a large class of loss functions, the weighted exponentiated functions, when the weights are decomposable as a particular product form. An upshot is that when losses are averaged for a large number of units, differences in ratios and, hence, ranks, are negligible, when the average (or summed) difference between the target values and their realizations is around zero. This implies the almost sure asymptotic convergence of numerical and distributive accuracy when using these loss functions.