KMS Of Academy of mathematics and systems sciences, CAS
| A distributed quantile estimation algorithm of heavy-tailed distribution with massive datasets | |
| Xie, Xiaoyue1,2; Shi, Jian1,2 | |
| 2020 | |
| Source Publication | MATHEMATICAL BIOSCIENCES AND ENGINEERING
 |
| ISSN | 1547-1063 |
| Volume | 18Issue:1Pages:214-230 |
| Abstract | 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. |
| Keyword | distributed algorithm big data high quantile estimation heavy-tailed distribution Peak Over Threshold method |
| DOI | 10.3934/mbe.2021011 |
| Indexed By | SCI |
| Language | 英语 |
| WOS Research Area | Mathematical & Computational Biology |
| WOS Subject | Mathematical & Computational Biology |
| WOS ID | WOS:000604617900011 |
| Publisher | AMER INST MATHEMATICAL SCIENCES-AIMS |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/57932 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Xie, Xiaoyue |
| Affiliation | 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 |
| Recommended Citation 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. |
| Files in This Item: | There are no files associated with this item. | |||||
Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Edit Comment