A distributed quantile estimation algorithm of heavy-tailed distribution with massive datasets
文献类型：期刊论文
| 作者 | Xie, Xiaoyue1,2; Shi, Jian1,2 |
| 刊名 | MATHEMATICAL BIOSCIENCES AND ENGINEERING
 |
| 出版日期 | 2020 |
| 卷号 | 18期号:1页码:214-230 |
| 关键词 | distributed algorithm big data high quantile estimation heavy-tailed distribution Peak Over Threshold method |
| ISSN号 | 1547-1063 |
| DOI | 10.3934/mbe.2021011 |
| 英文摘要 | Quantile estimation with big data is still a challenging problem in statistics. In this paper we introduce a distributed algorithm for estimating high quantiles of heavy-tailed distributions with massive datasets. The key idea of the algorithm is to apply the alternating direction method of multipliers in parameter estimation of the generalized pareto distribution in a distributed structure and compute high quantiles based on parameter estimation by the Peak Over Threshold method. This paper proves that the proposed algorithm converges to a stationary solution when the step size is properly chosen. The numerical study and real data analysis also shows that the algorithm is feasible and efficient for estimating high quantiles of heavy-tailed distribution with massive datasets and there is a clear-cut winner for the extreme quantiles. |
| WOS研究方向 | Mathematical & Computational Biology |
| 语种 | 英语 |
| WOS记录号 | WOS:000604617900011 |
| 出版者 | AMER INST MATHEMATICAL SCIENCES-AIMS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/57931]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Xie, Xiaoyue |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China |
| 推荐引用方式 GB/T 7714 | Xie, Xiaoyue,Shi, Jian. A distributed quantile estimation algorithm of heavy-tailed distribution with massive datasets[J]. MATHEMATICAL BIOSCIENCES AND ENGINEERING,2020,18(1):214-230. |
| APA | Xie, Xiaoyue,&Shi, Jian.(2020).A distributed quantile estimation algorithm of heavy-tailed distribution with massive datasets.MATHEMATICAL BIOSCIENCES AND ENGINEERING,18(1),214-230. |
| MLA | Xie, Xiaoyue,et al."A distributed quantile estimation algorithm of heavy-tailed distribution with massive datasets".MATHEMATICAL BIOSCIENCES AND ENGINEERING 18.1(2020):214-230. |
入库方式： OAI收割
来源：数学与系统科学研究院
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