Score Function of Distribution and Heavy-Tails

0431044 - ÚI 2015 RIV CH eng C - Conference Paper (international conference)
Fabián, Zdeněk
Score Function of Distribution and Heavy-Tails.
Proceedings of COMPSTAT 2014. Geneva: Centre International de Conferences, 2014 - (Gilli, M.; Nieto-Reyes, A.; González-Rodríguez, G.), s. 657-664. ISBN 978-2-8399-1347-8.
[COMPSTAT 2014. International Conference on Computational Statistics /21./. Geneva (CH), 19.08.2014-22.08.2014]
R&D Projects: GA MŠMT(CZ) LG12020
Institutional support: RVO:67985807
Keywords : score function * point estimation * correlation * heavy-tailed distributions
Subject RIV: BB - Applied Statistics, Operational Research

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.
Permanent Link: http://hdl.handle.net/11104/0235686