A distributed quantile estimation algorithm of heavy-tailed distribution with massive datasets

doi:10.3934/mbe.2021011

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	A distributed quantile estimation algorithm of heavy-tailed distribution with massive datasets
	Xie, Xiaoyue 1,2; Shi, Jian 1,2
	2020
发表期刊	MATHEMATICAL BIOSCIENCES AND ENGINEERING
ISSN	1547-1063
卷号	18 期号:1 页码:214-230
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.
关键词	distributed algorithm big data high quantile estimation heavy-tailed distribution Peak Over Threshold method
DOI	10.3934/mbe.2021011
收录类别	SCI
语种	英语
WOS研究方向	Mathematical & Computational Biology
WOS类目	Mathematical & Computational Biology
WOS记录号	WOS:000604617900011
出版者	AMER INST MATHEMATICAL SCIENCES-AIMS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/57932
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.