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Longer titles found: Non-commutative conditional expectation (view)

searching for Conditional expectation 52 found (114 total)

Method of conditional probabilities (3,157 words) [view diff] exact match in snippet view article find links to article

quantity used in place of the true conditional probability (or conditional expectation) underlying the proof. Raghavan gives this description: We first

Tail value at risk (4,680 words) [view diff] exact match in snippet view article find links to article

financial mathematics, tail value at risk (TVaR), also known as tail conditional expectation (TCE) or conditional tail expectation (CTE), is a risk measure

Lag operator (938 words) [view diff] no match in snippet view article find links to article

In time series analysis, the lag operator (L) or backshift operator (B) operates on an element of a time series to produce the previous element. For example

Randomized rounding (4,052 words) [view diff] exact match in snippet view article find links to article

probability of failure is at most the conditional expectation of F {\displaystyle F} . Next we calculate the conditional expectation of F {\displaystyle F} , much

Multivariate normal distribution (9,619 words) [view diff] exact match in snippet view article find links to article

\sigma _{1}\sigma _{2}&\sigma _{2}^{2}\end{pmatrix}}\right)} The conditional expectation of X1 given X2 is: E ⁡ ( X 1 ∣ X 2 = x 2 ) = μ 1 + ρ σ 1 σ 2 (

David Blackwell (2,492 words) [view diff] case mismatch in snippet view article find links to article

1954. In 1947, while at Howard, Blackwell published the paper "Conditional Expectation and Unbiased Sequential Estimation", which outlined a technique

Cumulant (8,877 words) [view diff] exact match in snippet view article find links to article

identity can be established between the conditional cumulant and the conditional expectation. For example, suppose that Y = X + Z where Z is standard normal

Value at risk (5,759 words) [view diff] exact match in snippet view article find links to article

capital, backtesting, stress testing, expected shortfall, and tail conditional expectation. Common parameters for VaR are 1% and 5% probabilities and one

Predictive analytics (3,125 words) [view diff] exact match in snippet view article find links to article

is used in order to create the conditional expectation and, similar to the ARIMA method, the conditional expectation is then compared to the account

Markov's inequality (2,521 words) [view diff] exact match in snippet view article find links to article

a)} is larger than or equal to a {\displaystyle a} because the conditional expectation only takes into account of values larger than or equal to a {\displaystyle

List of financial performance measures (137 words) [view diff] exact match in snippet view article find links to article

dividends are reinvested Risk measure Distortion risk measure Tail conditional expectation Value at risk Convex risk measure Entropic risk measure Coherent

Memorylessness (741 words) [view diff] case mismatch in snippet view article find links to article

ISBN 978-0-387-94594-1. Nagel, Werner; Steyer, Rolf (2017-04-04). Probability and Conditional Expectation: Fundamentals for the Empirical Sciences. Wiley Series in Probability

Inequalities in information theory (1,850 words) [view diff] exact match in snippet view article find links to article

|}{\big )}\leq {\sqrt {I(X;Y\mid Y')\,2\log 2}},} relating the conditional expectation to the conditional mutual information. This is a simple consequence

Truncated normal hurdle model (1,034 words) [view diff] exact match in snippet view article find links to article

on the probability P [ y > 0 ] {\displaystyle P[y>0]} and the conditional expectation: E ⁡ [ y ∣ x , y > 0 ] {\displaystyle \operatorname {E} [y\mid

Azuma's inequality (2,162 words) [view diff] exact match in snippet view article find links to article

the expectation is conditional expectation and the bounds are measurable with respect to the sigma-field the conditional expectation is conditioned on

Risk measure (1,237 words) [view diff] exact match in snippet view article find links to article

Superposed risk measures Entropic value at risk Drawdown Tail conditional expectation Entropic risk measure Superhedging price Expectile Variance (or

Random walk model of consumption (842 words) [view diff] exact match in snippet view article find links to article

the constant interest rate, and E 1 {\displaystyle E_{1}} is the conditional expectation at time period 1. Assuming that the utility function is quadratic

Stochastic approximation (4,388 words) [view diff] exact match in snippet view article find links to article

( X n ) n ≥ 0 {\displaystyle (X_{n})_{n\geq 0}} , in which the conditional expectation of X n {\displaystyle X_{n}} given θ n {\displaystyle \theta _{n}}

Orange (software) (1,612 words) [view diff] case mismatch in snippet view article

In 2022, Orange extended the Explain add-on with an Individual Conditional Expectation plot and the Permutation Feature Importance technique. In 2023

Expected shortfall (6,445 words) [view diff] exact match in snippet view article find links to article

distribution then the expected shortfall is equivalent to the tail conditional expectation defined by TCE α ⁡ ( X ) = E [ − X ∣ X ≤ − VaR α ⁡ ( X ) ] {\displaystyle

Minimum mean square error (9,310 words) [view diff] exact match in snippet view article find links to article

}(y)=\operatorname {E} \{x\mid y\}.} In other words, the MMSE estimator is the conditional expectation of x {\displaystyle x} given the known observed value of the measurements

Local martingale (1,610 words) [view diff] exact match in snippet view article find links to article

latter does not depend on n. The same argument applies to the conditional expectation.[vague] Øksendal, Bernt K. (2003). Stochastic Differential Equations:

Dominated convergence theorem (2,208 words) [view diff] case mismatch in snippet view article find links to article

Cambridge University Press. ISBN 0-521-40605-6. Zitkovic, Gordan (Fall 2013). "Lecture10: Conditional Expectation" (PDF). Retrieved December 25, 2020.

Zyablov bound (941 words) [view diff] exact match in snippet view article find links to article

(nN)^{O(1)}} time overall. This can be achieved by using the method of conditional expectation on the proof that random linear code lies on the bound with high

Uncorrelatedness (probability theory) (1,739 words) [view diff] case mismatch in snippet view article

Correlation, item 17. Bain, Lee; Engelhardt, Max (1992). "Chapter 5.5 Conditional Expectation". Introduction to Probability and Mathematical Statistics (2nd ed

Fair coin (2,164 words) [view diff] exact match in snippet view article find links to article

The correctness of the above algorithm is a perfect exercise of conditional expectation. We now analyze the expected number of coinflips. Given the bias

Homoscedasticity and heteroscedasticity (3,191 words) [view diff] exact match in snippet view article find links to article

distribution is a member of the linear exponential family and the conditional expectation function is correctly specified). Yet, in the context of binary

Multiple kernel learning (2,856 words) [view diff] exact match in snippet view article find links to article

log-likelihood empirical loss and group LASSO regularization with conditional expectation consensus on unlabeled data for image categorization. We can define

Gödel machine (1,340 words) [view diff] exact match in snippet view article find links to article

∣ ⋅ ] {\displaystyle E_{\mu }[\cdot \mid \cdot ]} denotes the conditional expectation operator with respect to some possibly unknown distribution μ {\displaystyle

Hardy space (4,038 words) [view diff] exact match in snippet view article find links to article

the dominated convergence theorem; hence Mn can be expressed as conditional expectation of f on Σn. It is thus possible to identify martingale-Hp with

Coherent risk measure (2,313 words) [view diff] exact match in snippet view article find links to article

risk is a coherent risk measure. The tail value at risk (or tail conditional expectation) is a coherent risk measure only when the underlying distribution

Lifting theory (1,959 words) [view diff] exact match in snippet view article find links to article

{\displaystyle f,} let ⌊ f ⌋ {\displaystyle \lfloor f\rfloor } denote its conditional expectation under π , {\displaystyle \pi ,} that is, the Radon-Nikodym derivative

Mixing (mathematics) (4,728 words) [view diff] exact match in snippet view article

{E}}_{t}\varphi (x)=\mathbb {E} [\varphi (X_{t})\mid X_{0}=x]} denote the conditional expectation operator on L 2 ( Q ) . {\displaystyle L^{2}(\mathbb {Q} ).} Finally

Present value (3,867 words) [view diff] exact match in snippet view article find links to article

Value under uncertainty, future dividends are replaced by their conditional expectation. Traditional Present Value Approach – in this approach a single

Geometric distribution (5,151 words) [view diff] case mismatch in snippet view article find links to article

ISBN 978-0-471-27246-5. Nagel, Werner; Steyer, Rolf (2017-04-04). Probability and Conditional Expectation: Fundamentals for the Empirical Sciences. Wiley Series in Probability

Functional principal component analysis (2,147 words) [view diff] case mismatch in snippet view article find links to article

1111/j.2517-6161.1991.tb01821.x. "PACE: Principal Analysis by Conditional Expectation". "fdapace: Functional Data Analysis and Empirical Dynamics". 2018-02-25

Local regression (5,123 words) [view diff] exact match in snippet view article find links to article

‘smooth’ regression function to be estimated, and represents the conditional expectation of the response, given a value of the predictor variables. In theoretical

David Mayne (1,625 words) [view diff] case mismatch in snippet view article find links to article

Handschin and D. Q. Mayne, Monte Carlo Techniques to Estimate the Conditional Expectation in Multistage Nonlinear Filtering, International Journal of Control

Support vector machine (9,064 words) [view diff] exact match in snippet view article find links to article

For the square-loss, the target function is the conditional expectation function, f s q ( x ) = E [ y x ] {\displaystyle f_{sq}(x)=\mathbb

Expectation–maximization algorithm (7,512 words) [view diff] exact match in snippet view article find links to article

the equation at the beginning of the E step section. This full conditional expectation does not need to be calculated in one step, because τ and μ/Σ appear

Gittins index (2,910 words) [view diff] exact match in snippet view article find links to article

and ⟨ ⋅ ⟩ c {\displaystyle \langle \cdot \rangle _{c}} is the conditional expectation operator given c: ⟨ X ⟩ c ≐ ∑ x ∈ χ x P { X = x | c } {\displaystyle

Wald's equation (3,188 words) [view diff] exact match in snippet view article find links to article

\quad n\in {\mathbb {N} }_{0}.} Assumption (11) implies that the conditional expectation of Xn given Fn–1 equals E[Xn] almost surely for every n ∈ N {\displaystyle

Sensitivity analysis (6,953 words) [view diff] exact match in snippet view article find links to article

through an equation similar to variance-based indices replacing the conditional expectation with a distance, as ξ i = E [ d ( P Y , P Y | X i ) ] {\displaystyle

Option on realized volatility (1,091 words) [view diff] exact match in snippet view article find links to article

{E} ^{\mathbb {Q} }[X\mid {\mathcal {F}}_{t_{0}}]} represents a conditional expectation of random variable X {\displaystyle X} with respect to F t 0 {\displaystyle

Stochastic programming (6,069 words) [view diff] exact match in snippet view article find links to article

T − 1 ] ] {\displaystyle E[U(W_{T})|\xi _{[T-1]}]} denotes the conditional expectation of U ( W T ) {\displaystyle U(W_{T})} given ξ [ T − 1 ] {\displaystyle

Stochastic process (18,657 words) [view diff] exact match in snippet view article find links to article

the current value and all the past values of the process, the conditional expectation of every future value is equal to the current value. In discrete

Strong subadditivity of quantum entropy (4,718 words) [view diff] exact match in snippet view article find links to article

Course, Contemp. Math. 529 (2009). Umegaki, Hisaharu (1962). "Conditional expectation in an operator algebra. IV. Entropy and information". Kodai Mathematical

Space (mathematics) (9,328 words) [view diff] exact match in snippet view article

spaces are especially useful. On a standard probability space a conditional expectation may be treated as the integral over the conditional measure (regular

Bayesian estimation of templates in computational anatomy (4,326 words) [view diff] no match in snippet view article find links to article

… {\displaystyle v_{i},i=1,\dots } and compute iteratively the conditional-expectation Q ( θ = v 0 ; θ old = v 0 old ) = − E ( log ⁡ p ( I D , θ = v 0

Bayesian model of computational anatomy (3,931 words) [view diff] no match in snippet view article find links to article

… {\displaystyle v_{i},i=1,\dots } and compute iteratively the conditional-expectation { Q ( θ = v 0 ; θ old = v 0 old ) = − E ⁡ ( log ⁡ p ( I D , θ =

Directional component analysis (1,912 words) [view diff] exact match in snippet view article find links to article

maximises the product of impact and probability density DCA1 is the conditional expectation, conditional on exceeding a certain level of impact DCA1 is the

Backpressure routing (7,659 words) [view diff] exact match in snippet view article find links to article

this into the right-hand-side of Eq. (10) and noting that the conditional expectation given Q ( t ) {\displaystyle {\boldsymbol {Q}}(t)} under this S-only