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Two results on dynamic extensions of deviation measures
Published online by Cambridge University Press: 16 July 2020
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.
MSC classification
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- Research Papers
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- Copyright
- © Applied Probability Trust 2020
References
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