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Score Function of Distribution and Heavy-Tails

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    SYSNO ASEP0431044
    Document TypeC - Proceedings Paper (int. conf.)
    R&D Document TypeConference Paper
    TitleScore Function of Distribution and Heavy-Tails
    Author(s) Fabián, Zdeněk (UIVT-O) SAI, RID
    Source TitleProceedings of COMPSTAT 2014. - Geneva : Centre International de Conferences, 2014 / Gilli M. ; Nieto-Reyes A. ; González-Rodríguez G. - ISBN 978-2-8399-1347-8
    Pagess. 657-664
    Number of pages8 s.
    Publication formMedium - C
    ActionCOMPSTAT 2014. International Conference on Computational Statistics /21./
    Event date19.08.2014-22.08.2014
    VEvent locationGeneva
    CountryCH - Switzerland
    Event typeWRD
    Languageeng - English
    CountryCH - Switzerland
    Keywordsscore function ; point estimation ; correlation ; heavy-tailed distributions
    Subject RIVBB - Applied Statistics, Operational Research
    R&D ProjectsLG12020 GA MŠMT - Ministry of Education, Youth and Sports (MEYS)
    Institutional supportUIVT-O - RVO:67985807
    AnnotationIn 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.
    WorkplaceInstitute of Computer Science
    ContactTereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800
    Year of Publishing2015
Number of the records: 1  

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