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Bibliography

Journal Article

Empirical Estimates in Optimization Problems: Survey with Special Regard to Heavy Tails and Dependent Data

Kaňková Vlasta

: Bulletin of the Czech Econometric Society vol.19, 30 (2012), p. 92-111

: GAP402/10/0956, GA ČR, GAP402/11/0150, GA ČR, GAP402/10/1610, GA ČR

: Stochastic optimization, empirical estimates, thin and heavy tails, independent and weak dependent random samples

: http://library.utia.cas.cz/separaty/2013/E/kankova-empirical estimates in optimization problems survey with special regard to heavy tails and dependent data.pdf

(eng): Optimization problems depending on a probability measure correspond to many economic and finacial situations. In applications mostly the theoretical measure has to be replaced by empirical one. The paper deals with the case when distribution function with heavy tails corresponds to the theorerical measure and when empirical measure is determined by weak dependent random sample

: BB