Search results
- 1.0502907 - ÚTIA 2019 RIV CZ eng J - Journal Article
Kaňková, Vlasta - Omelchenko, Vadym
Stochastic optimization problems with second order stochastic dominance constraints via Wasserstein metric.
Kybernetika. Roč. 54, č. 6 (2018), s. 1231-1246. ISSN 0023-5954.
[19th Joint Czech -German-Slovak Conference on Mathematical Methods in Economy and Industry (MMEI). Jindřichův Hradec, 04.06.2018-06.06.2018]
R&D Projects: GA ČR GA18-02739S
Institutional support: RVO:67985556
Keywords : Stochastic programming problems * Second order stochastic dominance constraints * Wasserstein metric * Stability * Relaxation * Scenario generation * Empirical estimates * Light-and heavy tailed distributions * Crossing
OECD category: Statistics and probability
Impact factor: 0.560, year: 2018
http://library.utia.cas.cz/separaty/2019/E/kankova-0502907.pdf
Permanent Link: http://hdl.handle.net/11104/0295272 - 2.0454495 - ÚTIA 2016 RIV SK eng J - Journal Article
Omelchenko, Vadym - Kaňková, Vlasta
Empirical estimates in stochastic programs with probability and second order stochastic dominance constraints.
Acta Mathematica Universitas Comenianae. Roč. 84, č. 2 (2015), s. 267-281. ISSN 0862-9544
R&D Projects: GA ČR GA13-14445S
Institutional support: RVO:67985556
Keywords : Stochastic programming problems * empirical estimates * light and heavy tailed distributions * quantiles
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2015/E/omelchenko-0454495.pdf
Permanent Link: http://hdl.handle.net/11104/0255277 - 3.0439707 - ÚTIA 2015 RIV CZ eng J - Journal Article
Omelchenko, Vadym
Parameter estimation of sub-Gaussian stable distributions.
Kybernetika. Roč. 50, č. 6 (2014), s. 929-949. ISSN 0023-5954
R&D Projects: GA ČR GA13-14445S
Institutional support: RVO:67985556
Keywords : stable distribution * sub-Gaussian distribution * maximum likelihood
Subject RIV: AH - Economics
Impact factor: 0.541, year: 2014
http://library.utia.cas.cz/separaty/2014/E/omelchenko-0439707.pdf
Permanent Link: http://hdl.handle.net/11104/0242974 - 4.0388146 - ÚTIA 2013 RIV CZ eng J - Journal Article
Omelchenko, Vadym
Behavior and Convergence of Wasserstein Metric in the Framework of Stable Distributions.
Bulletin of the Czech Econometric Society. Roč. 2012, č. 30 (2012), s. 124-138. ISSN 1212-074X
R&D Projects: GA ČR GAP402/10/0956
Institutional research plan: CEZ:AV0Z10750506
Institutional support: RVO:67985556
Keywords : Wasserstein Metric * Stable Distributions * Empirical Distribution Function
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2013/E/omelchenko-behavior and convergence of wasserstein metric in the framework of stable distributions.pdf
Permanent Link: http://hdl.handle.net/11104/0217170