Bayes Sequential Estimation for an Exponential Family of Processes: A Discrete Time Approach.
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Bayes sequential estimation procedures for exponential-type processes
Ryszard Magiera (1994)
Applicationes Mathematicae
The Bayesian sequential estimation problem for an exponential family of processes is considered. Using a weighted square error loss and observing cost involving a linear function of the process, the Bayes sequential procedures are derived.
Bregman superquantiles. Estimation methods and applications
T. Labopin-Richard, F. Gamboa, A. Garivier, B. Iooss (2016)
Dependence Modeling
In thiswork,we extend some parameters built on a probability distribution introduced before to the casewhere the proximity between real numbers is measured by using a Bregman divergence. This leads to the definition of the Bregman superquantile (thatwe can connect with severalworks in economy, see for example [18] or [9]). Axioms of a coherent measure of risk discussed previously (see [31] or [3]) are studied in the case of Bregman superquantile. Furthermore,we deal with asymptotic properties of...
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