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

0386933 20240103201923.920130111235959.9 Empirical Estimates in Optimization Problems: Survey with Special Regard to Heavy Tails and Dependent Data 20 s. cav_un_epca*02930251212-074XBulletin of the Czech Econometric Society1930 (2012)92-111 Stochastic optimization empirical estimates thin and heavy tails independent and weak dependent random samples cav_un_auth*0101122 Kaňková Vlasta Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2013/E/kankova-empirical estimates in optimization problems survey with special regard to heavy tails and dependent data.pdf GAP402/10/0956 GA ČR cav_un_auth*0263482 GAP402/11/0150 GA ČR cav_un_auth*0273629 GAP402/10/1610 GA ČR cav_un_auth*0263483 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 2013 BB RVO:67985556 http://hdl.handle.net/11104/0220215 2012 cav_un_epca*0293025 Bulletin of the Czech Econometric Society 1212-074X Roč. 19 č. 30 2012 92 111