Sciweavers

Free Online Productivity Tools i2Speak i2Symbol i2OCR iTex2Img iWeb2Print iWeb2Shot i2Type iPdf2Split iPdf2Merge i2Bopomofo i2Arabic i2Style i2Image i2PDF iLatex2Rtf Sci2ools

11

ORL
2007

favoriteEmaildiscussreport

83views more ORL 2007»

Large deviations bounds for estimating conditional value-at-risk

13 years 4 months ago

Large deviations bounds for estimating conditional value-at-risk

Download faculty.fuqua.duke.edu

In this paper, we prove an exponential rate of convergence result for a common estimator of conditional value-at-risk for bounded random variables. The bound on optimistic deviations is tighter while the bound on pessimistic deviations is more general and applies to a broader class of convex risk measures. © 2007 Elsevier B.V. All rights reserved.

David B. Brown

Real-time Traffic

Exponential Rate | Optimistic Deviations | ORL 2007 | Pessimistic Deviations |

claim paper

Related Content

» A Large Deviation Bound for the Area Under the ROC Curve

» Large Deviation Methods for Approximate Probabilistic Inference

» Queuing Analysis in Multichannel Cognitive Spectrum Access A Large Deviation Approach

» On the Feasibility of Time Estimation under Isolation Conditions in Wireless Sensor Networ...

» Robust Face Matching Under Large Occlusions

» A Sample Approximation Approach for Optimization with Probabilistic Constraints

» On complexity of multistage stochastic programs

» Approximate Decomposition A Method for Bounding and Estimating Probabilistic and Determini...

» On the Concentration of Expectation and Approximate Inference in Layered Networks

Post Info
More Details (n/a)

Added	27 Dec 2010
Updated	27 Dec 2010
Type	Journal
Year	2007
Where	ORL
Authors	David B. Brown

Comments (0)