Institute of Information Theory and Automation

Publication details

Empirical Estimates in Optimization Problems: Survey with Special Regard to Heavy Tails and Dependent Data

Journal Article

Kaňková Vlasta

serial: Bulletin of the Czech Econometric Society vol.19, 30 (2012), p. 92-111

project(s): GAP402/10/0956, GA ČR, GAP402/11/0150, GA ČR, GAP402/10/1610, GA ČR

keywords: Stochastic optimization, empirical estimates, thin and heavy tails, independent and weak dependent random samples

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abstract (eng):

Optimization problems depending on a probability measure correspond to many economic and finacial situations. In applications mostly the theoretical measure has to be replaced by empirical one. The paper deals with the case when distribution function with heavy tails corresponds to the theorerical measure and when empirical measure is determined by weak dependent random sample


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Last modification: 21.12.2012
Institute of Information Theory and Automation