| bibtype |
K -
Conference Paper (Czech conference)
|
| ARLID |
0380774 |
| utime |
20240111140819.9 |
| mtime |
20120927235959.9 |
| WOS |
000316715900068 |
| title
(primary) (eng) |
Empirical Estimates in Economic and Financial Problems via Heavy Tails |
| specification |
| page_count |
6 s. |
| media_type |
C |
|
| serial |
| ARLID |
cav_un_epca*0380742 |
| ISBN |
978-80-7248-779-0 |
| title
|
Proceedings of 30th International Conference Mathematical Methods in Economics 2012 |
| page_num |
396-401 |
| publisher |
| place |
Karviná |
| name |
Silesian University in Opava, School of Busines Administration in Karviná |
| year |
2012 |
|
| editor |
| name1 |
Ramík |
| name2 |
Jaroslav |
|
| editor |
| name1 |
Stavárek |
| name2 |
Daniel |
|
|
| keyword |
stochastic optimization problems |
| keyword |
empirical estimates |
| keyword |
thin and heavy tailed distributions |
| keyword |
stable distribution |
| keyword |
Pareto distribution |
| keyword |
Lipschitz property |
| author
(primary) |
| ARLID |
cav_un_auth*0101122 |
| name1 |
Kaňková |
| name2 |
Vlasta |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GAP402/10/0956 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0263482 |
|
| project |
| project_id |
GAP402/11/0150 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0273629 |
|
| project |
| project_id |
GAP402/10/1610 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0263483 |
|
| abstract
(eng) |
Optimization problems depending on a probability measure correspond to many economic and financial applications. Complete knowledge of this measure is necessary to solve exactly these problems. Since this condition is fulfilled only seldom, the problem has to be usually solved on the data basis to obtain satistical estimates of an optimal value and optimal solutions. Great effort has been paid to investigate properties of these estimates; first under assumptions of disribution with thin tails and linear dependence on the probability measure. Recently, it has appeared an investigation in the case of nonlinear dependence on the probability measure and heavy tailed distributions with shape parameter greater two. We focus on the case of the stable and Pareto distributions with a shape parameter in the inteval (1, 2). |
| action |
| ARLID |
cav_un_auth*0283511 |
| name |
30th International Conference Mathematical Methods in Economics 2012 |
| place |
Karviná |
| dates |
11.09.2012-13.09.2012 |
| country |
CZ |
|
| reportyear |
2013 |
| RIV |
BB |
| num_of_auth |
1 |
| presentation_type |
PR |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0211398 |
| arlyear |
2012 |
| mrcbU34 |
000316715900068 WOS |
| mrcbU56 |
90 kByte |
| mrcbU63 |
cav_un_epca*0380742 Proceedings of 30th International Conference Mathematical Methods in Economics 2012 978-80-7248-779-0 396 401 Proceedings of 30th International Conference Mathematical Methods in Economics 2012 Karviná Silesian University in Opava, School of Busines Administration in Karviná 2012 |
| mrcbU67 |
Ramík Jaroslav 340 |
| mrcbU67 |
Stavárek Daniel 340 |
|