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Score Function of Distribution and Heavy-Tails
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SYSNO ASEP 0431044 Document Type C - Proceedings Paper (int. conf.) R&D Document Type Conference Paper Title Score Function of Distribution and Heavy-Tails Author(s) Fabián, Zdeněk (UIVT-O) SAI, RID Source Title Proceedings of COMPSTAT 2014. - Geneva : Centre International de Conferences, 2014 / Gilli M. ; Nieto-Reyes A. ; González-Rodríguez G. - ISBN 978-2-8399-1347-8 Pages s. 657-664 Number of pages 8 s. Publication form Medium - C Action COMPSTAT 2014. International Conference on Computational Statistics /21./ Event date 19.08.2014-22.08.2014 VEvent location Geneva Country CH - Switzerland Event type WRD Language eng - English Country CH - Switzerland Keywords score function ; point estimation ; correlation ; heavy-tailed distributions Subject RIV BB - Applied Statistics, Operational Research R&D Projects LG12020 GA MŠMT - Ministry of Education, Youth and Sports (MEYS) Institutional support UIVT-O - RVO:67985807 Annotation 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. Workplace Institute of Computer Science Contact Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800 Year of Publishing 2015
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