Original title:
On quantile optimization problem with censored data
Authors:
Volf, Petr Document type: Papers Conference/Event: MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./, Jihlava (CZ), 2013-09-11 / 2013-09-13
Year:
2013
Language:
eng Abstract:
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.
Keywords:
censored data; quantile; stochastic optimization Project no.: GA13-14445S (CEP) Funding provider: GA ČR Host item entry: Proceedings of the 31st International Conference Mathematical Methods in Economics 2013, ISBN 978-80-87035-76-4