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A Remark on Empirical Estimates via Economic Problems
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SYSNO ASEP 0329682 Document Type C - Proceedings Paper (int. conf.) R&D Document Type Conference Paper Title A Remark on Empirical Estimates via Economic Problems Title Poznámka k empirickým odhadům v ekonomických úlohách Author(s) Kaňková, Vlasta (UTIA-B) RID Source Title Proceedings of 27th International Conference Mathematical Methods in Economics 2009. - Prague : Czech University of Life Sciences Prague, 2009 / Brožová Helena - ISBN 978-80-213-1963-9 Pages s. 169-173 Number of pages 6 s. Publication form CD ROM - CD ROM Action 27th International Conference Mathematical Methods in Economics 2009 Event date 09.09.2009-11.09.2009 VEvent location Kostelec nad Černými lesy Country CZ - Czech Republic Event type CST Language eng - English Country CZ - Czech Republic Keywords Economic problems ; Stochastic optimization ; Stochastic estimates ; Rate convergence ; Exponential tails ; Pareto tails Subject RIV BB - Applied Statistics, Operational Research R&D Projects GA402/07/1113 GA ČR - Czech Science Foundation (CSF) GA402/08/0107 GA ČR - Czech Science Foundation (CSF) LC06075 GA MŠMT - Ministry of Education, Youth and Sports (MEYS) CEZ AV0Z10750506 - UTIA-B (2005-2011) Annotation Optimization problems depending on a probability measure correspond to many economic applications. Since the ``underlying" measure is usually unknown the decision is mostly determined on the data basis, it means on statistical (mostly empirical) estimates of the probability measure. Properties of the optimal value (and solution) estimates have been investigated many times. There were introduced assumptions under which the asymptotic distribution is normal and the convergence rate is at least exponential. We generalize the assertions concerning rate convergence. Especially we shall consider distribiotions with the Pareto tails. The introduced assertions are focus on optimal value estimates. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2010
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