Quadratic Quasinorm and Its Applications in Risk Analysis

Jakub Šácha, Veronika Lacinová and Zdeněk Karpíšek
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Jakub Šácha: Department of Statistics and Operation Analysis, Faculty of Business and Economics, Mendel University in Brno, Zemědělská 1, 613 00 Brno, Czech Republic
Veronika Lacinová: Department of Quantitative Methods, Faculty of Military Leadership, University of Defence, Kounicova 65, 662 10 Brno, Czech Republic
Zdeněk Karpíšek: Department of Applied Disciplines, STING Academy, Stromovka 1, 637 00 Brno, Czech Republic

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2021, vol. 69, issue 1, 45-49

Abstract: This paper deals with the estimation of the probability distribution of the category random variable from its observed values. The gradient estimation presented is based on the f-quasi-norm term. The gradient estimation tends to move away from the empirical distribution towards a uniform distribution. For this reason, it is called the pessimistic estimate. The paper deals with both point and interval estimates. The bootstrap method is used for interval estimates. The theoretical results are illustrated using specific economic data.

Keywords: f-divergence; f-quasi-norm; quadratic quasi-norm; discrete probability distribution; gradient estimation; bootstrap (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:mup:actaun:2021.004

DOI: 10.11118/actaun.2021.004

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