Název:
On quantile optimization problem with censored data
Autoři:
Volf, Petr Typ dokumentu: Příspěvky z konference Konference/Akce: MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./, Jihlava (CZ), 2013-09-11 / 2013-09-13
Rok:
2013
Jazyk:
eng
Abstrakt: In the framework of stochastic optimization the criterion based on selected quantiles is considered. Further, stochastic characteristics are estimated from censored data. Therefore, certain theoretical results concerning estimators of distribution function and quantiles under censoring are recalled and utilized to prove consistency of solution based on estimates. Behavior of solutions for finite data sizes is studied with the aid of randomly generated example.
Klíčová slova:
censored data; quantile; stochastic optimization Číslo projektu: GA13-14445S (CEP) Poskytovatel projektu: GA ČR Zdrojový dokument: Proceedings of the 31st International Conference Mathematical Methods in Economics 2013, ISBN 978-80-87035-76-4