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词汇 Distortion function
分类 英语词汇 英语翻译词典
释义

Distortion function

英语百科

Distortion function

A distortion function g: [0,1] \to [0,1] is a non-decreasing function such that g(0) = 0 and g(1) = 1. The dual distortion function is \tilde{g}(x) = 1 - g(1-x). Distortion functions are used to define distortion risk measures.

Given a probability space (\Omega,\mathcal{F},\mathbb{P}), then for any random variable X and any distortion function g we can define a new probability measure \mathbb{Q} such that for any A \in \mathcal{F} it follows that

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