CVaR distance between univariate probability distributions and approximation problems
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DOI: 10.1007/s10479-017-2732-8
Abstract: The paper defines new distances between univariate probability distributions, based on the concept of the CVaR norm. We consider the problem of approximation of a discrete distribution by some other discrete distribution. The approximating distribution… read more here.
Keywords: approximation; approximating distribution; probability distributions; distribution ... See more keywords