Two results on dynamic extensions of deviation measures
AbstractWe give a dynamic extension result of the (static) notion of a deviation measure. We also study distribution-invariant deviation measures and show that the only dynamic deviation measure which is law invariant and recursive is the variance.
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2014 ◽
Vol 7
(2)
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pp. 11-16
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1995 ◽
Vol 47
(3)
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pp. 641-654
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2018 ◽
Vol 29
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pp. 316-327
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1999 ◽
Vol 129
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pp. 467-476
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2009 ◽
Vol 57
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pp. 96-109
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