Generalization of geometric median
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F14%3A10286469" target="_blank" >RIV/00216208:11320/14:10286469 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Generalization of geometric median
Original language description
The geometric median is a very robust method for estimating parameters of location. The eciency of this method is however rather poor. It was shown that the eciency can be improved by averaging of chosen observations, which lie in some sense around the original estimate. For this purpose we employ the median absolute deviation. The next step to improve the eciency, which is introduced in the paper, is to employ weights for observations according to their distance from the original estimate and then to compute the weighted mean. This approach is similar to the one of M estimates. Further we deal with a generalization of boxplot for multidimensional case. We suggest procedure based on the mentioned methods. This leads us to looking for quantiles, where we use a similar approach which was established by Koenker and Bassett. Since there is a direct connection between robust statistic and appearance of extreme events in a sense of economic prot we deal with analogy between the value at risk
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Conference Proceedings of the 32nd International Conference Mathematical Methods in Economics MME 2014
ISBN
978-80-244-4209-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
31-36
Publisher name
Palacký University
Place of publication
Olomouc
Event location
Olomouc
Event date
Sep 10, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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