大数据比例风险变换的鲁棒估计

IF 1.3 Q2 STATISTICS & PROBABILITY
Tami Omar, Rassoul Abdelaziz, Ould Rouis Hamid
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引用次数: 0

摘要

摘要本文探讨了在海量数据框架下分组的思想,为比例风险变换(PHT)提出了一种均值中值非参数型估计器,该估计器在金融和保险领域得到了广泛应用。在子群增长率的一定条件下,研究了估计量的一致性和渐近正态性。此外,我们构造了一种新的方法来测试PHT,该方法基于中值的经验似然法,以避免对所提出的估计器的方差结构进行任何先验估计,因为它很难估计,并且经常导致很多不准确。设计了数值模拟和实际数据分析来展示当前估计器的性能。结果表明,新提出的估计量对异常值具有很强的鲁棒性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A robust estimator of the proportional hazard transform for massive data
Abstract In this paper, we explore the idea of grouping under the massive data framework, to propose a median-of-means non-parametric type estimator for the Proportional Hazard Transform (PHT), which has been widely used in finance and insurance. Under certain conditions on the growth rate of subgroups, the consistency and asymptotic normality of the proposed estimators are investigated. Furthermore, we construct a new method to test PHT based on the empirical likelihood method for the median in order to avoid any prior estimate of the variance structure for the proposed estimator, as it is difficult to estimate and often causes much inaccuracy. Numerical simulations and real-data analysis are designed to show the present estimator’s performance. The results confirm that the new put-forward estimator is quite robust with respect to outliers.
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来源期刊
Statistics & Risk Modeling
Statistics & Risk Modeling STATISTICS & PROBABILITY-
CiteScore
1.80
自引率
6.70%
发文量
6
期刊介绍: Statistics & Risk Modeling (STRM) aims at covering modern methods of statistics and probabilistic modeling, and their applications to risk management in finance, insurance and related areas. The journal also welcomes articles related to nonparametric statistical methods and stochastic processes. Papers on innovative applications of statistical modeling and inference in risk management are also encouraged. Topics Statistical analysis for models in finance and insurance Credit-, market- and operational risk models Models for systemic risk Risk management Nonparametric statistical inference Statistical analysis of stochastic processes Stochastics in finance and insurance Decision making under uncertainty.
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