Robust models with transformed data and measurement errors
Project goals
The multivariate data are often not directly observable, while we can only observe their trasnformed forms onto simpler subsets, mostly of lower dimensions. Our conclusions, the statistical inference, can be then based only on such transformed data. Moreover, the data are often measured with random errors, which are not under our control; this can be caused by their automatic collection or by a shortage of the measurement technique. We intend to study procedures of statistical inference based on the transformed or erroneously measured data. Namely, we shall concentrate on (1) transformation of robust estimators onto simpler subsets, their applications and properties; (2) nonparametric statistical procedures, based on the transformed data, and the effect of their conclusions; (3) modifications of rank and regression rank scores tests and the quantile methods in the presence of measurement errors; (4) possible ordering of the transformed data and a consequent application of the extreme value theory; (5)applications of the results to problems of financial markets; (6) robustness, stability and sensitivity of stochastic optimization problems under transformations or measurement errors; (7) algorithms and computational techniques for the constructed modified procedures.
Keywords
chyby měřenítransformovaná datarobustní a neparametrická inferencestochastické programování
Public support
Provider
Czech Science Foundation
Programme
Standard projects
Call for proposals
Standardní projekty 12 (SGA02009GA-ST)
Main participants
—
Contest type
VS - Public tender
Contract ID
201/09/0133
Alternative language
Project name in Czech
Robustní modely s transformovanými a chybně měřenými daty
Annotation in Czech
Modifikované robustní statistické postupy založené na transformovaných nebo chybně měřených datech: modifikace pořadových a kvantilových metod; možná uspořádání transformovaných dat a jejich extrémy; aplikace v ekonometrii, ve financích a ve stochastickéoptimalizaci; výpočetní postupy.
Scientific branches
Completed project evaluation
Provider evaluation
V - Vynikající výsledky projektu (s mezinárodním významem atd.)
Project results evaluation
The project was excellent, both in terms of expertise and in terms of disbursement of funds.
Solution timeline
Realization period - beginning
Jan 1, 2009
Realization period - end
Dec 31, 2011
Project status
U - Finished project
Latest support payment
Apr 16, 2011
Data delivery to CEP
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data delivery code
CEP12-GA0-GA-U/02:2
Data delivery date
May 2, 2016
Finance
Total approved costs
1,479 thou. CZK
Public financial support
1,479 thou. CZK
Other public sources
0 thou. CZK
Non public and foreign sources
0 thou. CZK
Basic information
Recognised costs
1 479 CZK thou.
Public support
1 479 CZK thou.
100%
Provider
Czech Science Foundation
CEP
BA - General mathematics
Solution period
01. 01. 2009 - 31. 12. 2011