منابع مشابه
Conditional Expectations and Renormalization
In optimal prediction methods one estimates the future behavior of underresolved systems by solving reduced systems of equations for expectations conditioned by partial data; renormalization group methods reduce the number of variables in complex systems through integration of unwanted scales. We establish the relation between these methods for systems in thermal equilibrium, and use this relat...
متن کاملThe Specification of Conditional Expectations
This paper explores different speciÞcations of conditional expectations. The most common speciÞcation, linear least squares, is contrasted with nonparametric techniques that make no assumptions about the distribution of the data. Nonparametric regression is successful in capturing some nonlinearities in Þnancial data, in particular, asymmetric responses of security returns to the direction and ...
متن کاملEffective dynamics using conditional expectations
The question of coarse-graining is ubiquitous in molecular dynamics. In this article, we are interested in deriving effective properties for the dynamics of a coarse-grained variable ξ(x), where x describes the configuration of the system in a high-dimensional space R, and ξ is a smooth function with value in R (typically a reaction coordinate). It is well known that, given a Boltzmann-Gibbs di...
متن کاملAsymptotic Analysis of Multivariate Tail Conditional Expectations
Tail conditional expectations refer to the expected values of random variables conditioning on some tail events and are closely related to various coherent risk measures. In the univariate case, the tail conditional expectation is asymptotically proportional to the value-at-risk, a popular risk measure. The focus of this paper is on asymptotic relations between the multivariate tail conditional...
متن کاملInformation and the Dispersion of Conditional Expectations
We explore the intuitive idea that more information leads to greater dispersion of posterior beliefs about the expected state of the world. We consider three nested dispersion orders that are widely used in the literature, and derive the weakest information concept compatible with each order. Our results illustrate both the potential and the limitations of using dispersion orders as information...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Illinois Journal of Mathematics
سال: 2001
ISSN: 0019-2082
DOI: 10.1215/ijm/1258138266