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Statistické odhady a chvosty jejich rozdělení pravděpodobností
Veverková, Jana ; Jurečková, Jana (advisor) ; Antoch, Jaromír (referee)
Master Thesis Statistical estimators and their tail behavior provides description of two type of characteristics of robustness of estimators - tail behavior and break- down point. Description is made for translation equivariant estimators in general and also for some concrete type of estimators, sample mean, sample median, trimmed mean, Huber estimator and Hodges Lehmann estimator. Tail behavior of these estimator is illustrated for random sample coming from t-distribution with 1 to 5 degrees of freedom. Ilustration is based on simulations made in Mathematica. 1
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Stable distributions and their applications
Volchenkova, Irina ; Klebanov, Lev (advisor) ; Beneš, Viktor (referee)
The aim of this thesis is to show that the use of heavy-tailed distributions in finance is theoretically unfounded and may cause significant misunderstandings and fallacies in model interpretation. The main reason seems to be a wrong understanding of the concept of the distributional tail. Also in models based on real data it seems more reasonable to concentrate on the central part of the distribution not tails. Powered by TCPDF (www.tcpdf.org)
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Statistické odhady a chvosty jejich rozdělení pravděpodobností
Veverková, Jana ; Jurečková, Jana (advisor) ; Antoch, Jaromír (referee)
Master Thesis Statistical estimators and their tail behavior provides description of two type of characteristics of robustness of estimators - tail behavior and break- down point. Description is made for translation equivariant estimators in general and also for some concrete type of estimators, sample mean, sample median, trimmed mean, Huber estimator and Hodges Lehmann estimator. Tail behavior of these estimator is illustrated for random sample coming from t-distribution with 1 to 5 degrees of freedom. Ilustration is based on simulations made in Mathematica. 1
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