๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

A counterexample on the continuity of conditional expectations

โœ Scribed by Alberto Alonso

Publisher
Elsevier Science
Year
1988
Tongue
English
Weight
218 KB
Volume
129
Category
Article
ISSN
0022-247X

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

Lp-Continuity of Conditional Expectation
Lp-Continuity of Conditional Expectations
โœ Alberto Alonso; Fernando Brambila-Paz ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 213 KB

A necessary and sufficient condition on a sequence n nโˆˆN of ฯƒ-subalgebras that assures L p -convergence of the conditional expectations is given. This result generalizes the L p -martingales, the Fetter and the Boylan (equiconvergence) theorems.

On estimating the conditional expected s
On estimating the conditional expected shortfall
โœ Franco Peracchi; Andrei V. Tanase ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 492 KB

## Abstract Unlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the expected shortfall of a random variable __Y__~__t__~ with special reference to the case when auxiliary information is available in the form of a set of predictors