In this paper, we establish a new coherent risk measure on Lp, which refer to as the monotone mean Lp-deviation measure. Then, related properties are discussed. Furthermore, from perspective of acceptance set, discuss relationship between and Sharpe ratio Finally, extend multivariate setting.

The problem of parameter estimation in linear model is pervasive in signal processing and communication applications. It is often common to restrict attention to linear estimators, which simplifies the implementation as well as the mathematical derivations. The simplest design scenario is when the second order statistics of the parameters to be estimated are known and it is desirable to minimiz...

The Least Mean Square (LMS) algorithm, introduced by Widrow and Hoff in 1959 [12] is an adaptive algorithm, which uses a gradient-based method of steepest decent [10]. LMS algorithm uses the estimates of the gradient vector from the available data. LMS incorporates an iterative procedure that makes successive corrections to the weight vector in the direction of the negative of the gradient vect...

Regression analysis is a statistical technique that most commonly used for forecasting. Data sets are becoming very large due to continuous transactions in today's high-paced world. The data difficult manage and interpret. All the independent variables can’t be considered prediction because it costs high maintenance of set. A novel algorithm has been implemented this paper. Its emphasis on extr...

Constrained adaptive filtering algorithms inculding constrained least mean square (CLMS), constrained affine projection (CAP) and constrained recursive least squares (CRLS) have been extensively studied in many applications. Most existing constrained adaptive filtering algorithms are developed under mean square error (MSE) criterion, which is an ideal optimality criterion under Gaussian noises....