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Start Over Author "Sun, Chuanfeng" Publisher academic press inc.
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1. The least squares estimator of random variables under sublinear expectations.

Author

Sun, Chuanfeng and Ji, Shaolin

Subjects
*LEAST squares, *RANDOM variables, *UNIQUENESS (Mathematics), *CONDITIONAL expectations, *MATHEMATICS
Abstract

In this paper, we study the least squares estimator for sublinear expectations. Under some mild assumptions, we prove the existence and uniqueness of the least squares estimator. The relationship between the least squares estimator and the conditional coherent risk measure (resp. the conditional g -expectation) is also explored. Then some characterizations of the least squares estimator are given. [ABSTRACT FROM AUTHOR]

Published
2017
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