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

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2013/SI/volf-on quantile optimization problem with censored data.pdf
Original record: http://hdl.handle.net/11104/0223790

Permalink: http://www.nusl.cz/ntk/nusl-156459


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