Worst-case large deviations upper bounds for   i.i.d. sequences  under ambiguity

Mustafa Ç. PINAR

Makale detayları

Worst-case large deviations upper bounds for i.i.d. sequences under ambiguity

Yazarlar:

Mustafa Ç. PINAR

Yayıncı:

TUBITAK

Dergi:

Turkish Journal of Mathematics 2018 Vol.42 Issue 1, pp.257-271

Belge Tipi:

Makale

Yayın Tarihi:

1/2018

Belge Dili:

Türkçe

Document ID (Org No.):

2000745951

Sıklık:

İki Aylık

eISSN:

1303-6149

pISSN:

1300-0098

Özet:

 

An introductory study of large deviations upper bounds from a worst-case perspective   under parameter uncertainty (referred to as ambiguity) of the underlying distributions is given.   Borrowing ideas from robust optimization, suitable sets of ambiguity   are defined for imprecise parameters of underlying distributions. Both univariate and multivariate   i.i.d. sequences of random variables are considered.   The resulting optimization problems are challenging min‒max (or max‒min) problems   that admit some simplifications and some explicit results, mostly in the case   of the normal probability law.

Makale detayları

Worst-case large deviations upper bounds for i.i.d. sequences under ambiguity

Yazarlar: Mustafa Ç. PINAR

Yayıncı: TUBITAK

Dergi: Turkish Journal of Mathematics 2018 Vol.42 Issue 1, pp.257-271

Belge Tipi: Makale

Yayın Tarihi: 1/2018

Belge Dili: Türkçe

Document ID (Org No.): 2000745951

Sıklık: İki Aylık

eISSN: 1303-6149

pISSN: 1300-0098

Sayı

Yazarlar:

Mustafa Ç. PINAR

Yayıncı:

TUBITAK

Dergi:

Turkish Journal of Mathematics 2018 Vol.42 Issue 1, pp.257-271

Belge Tipi:

Makale

Yayın Tarihi:

1/2018

Belge Dili:

Türkçe

Document ID (Org No.):

2000745951

Sıklık:

İki Aylık

eISSN:

1303-6149

pISSN:

1300-0098