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On consistency of stochastic dominance and mean–semideviation models

✍ Scribed by Włodzimierz Ogryczak; Andrzej Ruszczyński

Publisher
Springer-Verlag
Year
2001
Tongue
English
Weight
120 KB
Volume
89
Category
Article
ISSN
0025-5610

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This paper is concerned with the question of continuity of the mapping from observed time series to models. The behavioral framework is adopted to formalize a model identiÿcation problem in which the observed time series is decomposed into a part explained by a model and a remaining part which is as