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Coherence and elicitability
Coherent risk measures Decision theory Elicitability Expected shortfall Expectiles Law-invariant risk measures Spectral riskmeasures
2013/4/28
The risk of a financial position is usually summarized by a risk measure. As this risk measure has to be estimated from historical data, it is important to be able to verify and compare competing esti...
Coherence-Based Performance Guarantees of Orthogonal Matching Pursuit
Compressive Sensing(CS) Orthogonal Matching Pursuit(OMP) worst-case coherence average coherence support recovery signal reconstruction
2012/11/23
In this paper, we present coherence-based performance guarantees of Orthogonal Matching Pursuit (OMP) for both support recovery and signal reconstruction of sparse signals when the measurements are co...
Limiting Laws of Coherence of Random Matrices with Applications to Testing Covariance Structure and Construction of Compressed Sensing Matrices
Chen-Stein method coherence compressed sensing matrix covariance struc-ture law of large numbers limiting distribution maxima moderate deviations mutual incoherence property random matrix sample correlation matrix
2011/3/21
Kernel density estimation (KDE) is a popular statistical technique for estimating the underlying density distribution with minimal assumptions. Although they can be shown to achieve asymptotic estimat...
Limiting Laws of Coherence of Random Matrices with Applications to Testing Covariance Structure and Construction of Compressed Sensing Matrices
Chen-Stein method coherence compressed sensing matrix covariance struc-ture law of large numbers limiting distribution maxima moderate deviations mutual incoherence property random matrix sample correlation matrix
2011/3/23
Testing covariance structure is of significant interest in many areas of statistical analysis and construction of compressed sensing matrices is an important problem in signal processing. Motivated b...
Coherence and phase synchronization：generalization to pairs of multivariate time series，and removal of zero-lag contributions
Coherence and phase synchronization generalization multivariate time series zero-lag contributions
2010/4/29
Coherence and phase synchronization between time series corresponding to
different spatial locations are usually interpreted as indicators of the “connectivity”
between locations. In neurophysiology...
Coherence-Based Performance Guarantees for Estimating a Sparse Vector Under Random Noise
Coherence-Based Performance Guarantees Sparse Vector Random Noise
2010/3/19
We consider the problem of estimating a deterministic
sparse vector x0 from underdetermined measurements
Ax0 + w, where w represents white Gaussian noise and A is
a given deterministic dictionary. ...
Coherence and calibration: comments on subjectivity and "objectivity" in Bayesian analysis(Comment on Articles by Berger and by Goldstein)
Meta-analysis out-of-sample predictive calibration
2009/9/21
In this contribution to the discussion of Th case for objective
Bayesian analysis by James Berger and Sujective Bayesian analysis: princi-
ples and practice by Michael Goldstein, I argue that (a) al...
Coherence, Bayes’s Theorem and Posterior Distributions
Coherence Bayes’s Theorem Posterior Distributions
2009/9/17
Coherence, Bayes’s Theorem and Posterior Distributions。