Tail value at riskTail value at risk (TVaR), also known as tail conditional expectation (TCE) or conditional tail expectation (CTE), is a risk measure associated with the more general value at risk. It quantifies the expected value of the loss given that an event outside a given probability level has occurred. There are a number of related, but subtly different, formulations for TVaR in the literature. A common case in literature is to define TVaR and average value at risk as the same measure.
Hyperbolic partial differential equationIn mathematics, a hyperbolic partial differential equation of order is a partial differential equation (PDE) that, roughly speaking, has a well-posed initial value problem for the first derivatives. More precisely, the Cauchy problem can be locally solved for arbitrary initial data along any non-characteristic hypersurface. Many of the equations of mechanics are hyperbolic, and so the study of hyperbolic equations is of substantial contemporary interest. The model hyperbolic equation is the wave equation.
Algebra of random variablesThe algebra of random variables in statistics, provides rules for the symbolic manipulation of random variables, while avoiding delving too deeply into the mathematically sophisticated ideas of probability theory. Its symbolism allows the treatment of sums, products, ratios and general functions of random variables, as well as dealing with operations such as finding the probability distributions and the expectations (or expected values), variances and covariances of such combinations.
Q–Q plotIn statistics, a Q–Q plot (quantile-quantile plot) is a probability plot, a graphical method for comparing two probability distributions by plotting their quantiles against each other. A point (x, y) on the plot corresponds to one of the quantiles of the second distribution (y-coordinate) plotted against the same quantile of the first distribution (x-coordinate). This defines a parametric curve where the parameter is the index of the quantile interval.
Axiom of regularityIn mathematics, the axiom of regularity (also known as the axiom of foundation) is an axiom of Zermelo–Fraenkel set theory that states that every non-empty set A contains an element that is disjoint from A. In first-order logic, the axiom reads: The axiom of regularity together with the axiom of pairing implies that no set is an element of itself, and that there is no infinite sequence (an) such that ai+1 is an element of ai for all i.
Self-adjointIn mathematics, and more specifically in abstract algebra, an element x of a *-algebra is self-adjoint if . A self-adjoint element is also Hermitian, though the reverse doesn't necessarily hold. A collection C of elements of a star-algebra is self-adjoint if it is closed under the involution operation. For example, if then since in a star-algebra, the set {x,y} is a self-adjoint set even though x and y need not be self-adjoint elements. In functional analysis, a linear operator on a Hilbert space is called self-adjoint if it is equal to its own adjoint A^∗.
Include directiveMany programming languages and other computer files have a directive, often called include, import, or copy, that causes the contents of the specified file to be inserted into the original file. These included files are called s or copybooks. They are often used to define the physical layout of program data, pieces of procedural code, and/or forward declarations while promoting encapsulation and the reuse of code or data. In computer programming, a header file is a file that allows programmers to separate certain elements of a program's source code into reusable files.
Borel functional calculusIn functional analysis, a branch of mathematics, the Borel functional calculus is a functional calculus (that is, an assignment of operators from commutative algebras to functions defined on their spectra), which has particularly broad scope. Thus for instance if T is an operator, applying the squaring function s → s2 to T yields the operator T2. Using the functional calculus for larger classes of functions, we can for example define rigorously the "square root" of the (negative) Laplacian operator −Δ or the exponential The 'scope' here means the kind of function of an operator which is allowed.
Law of total expectationThe proposition in probability theory known as the law of total expectation, the law of iterated expectations (LIE), Adam's law, the tower rule, and the smoothing theorem, among other names, states that if is a random variable whose expected value is defined, and is any random variable on the same probability space, then i.e., the expected value of the conditional expected value of given is the same as the expected value of .
