Score function of distribution and heavy tails

0431046 - ÚI 2015 CH eng A - Abstrakt
Fabián, Zdeněk
Score function of distribution and heavy tails.
COMPSTAT 2014. Book of Abstracts. ISI, 2014. s. 49-49.
[COMPSTAT 2014. International Conference on Computational Statistics /21./. 19.08.2014-22.08.2014, Geneva]
Institucionální podpora: RVO:67985807
Klíčová slova: score function * point estimation * correlation * heavy-tailed distributions
Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum

In this contribution we explain the recently introduced notion of the distribution-dependent scalar-valued score function of distribution. Function and its moments are used for description of continuous distributions and data samples generated from them. Each distribution including the heavy-tailed ones and random samples from them are described by a typical value and variability. Further, we discuss the generalized (score) moment estimates and a distribution- dependent score correlation coefficient for continuous random variables, and present results of simulation experiments with data generated from heavy-tailed distributions. Since score functions of distribution of heavy-tailed distributions are bounded, the point estimates as well as the sample score correlation coefficients are insensitive to outliers.
Trvalý link: http://hdl.handle.net/11104/0235688