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Two results on dynamic extensions of deviation measures

Published online by Cambridge University Press:  16 July 2020

Mitja Stadje
Affiliation:
Ulm University
Corresponding
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Abstract

We give a dynamic extension result of the (static) notion of a deviation measure. We also study distribution-invariant deviation measures and show that the only dynamic deviation measure which is law invariant and recursive is the variance.

Type
Research Papers
Copyright
© Applied Probability Trust 2020

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References

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