Using Order Statistics to Estimate Confidence Intervals for Quantile-Based Risk Measures

2010 ◽  
pp. 100205025839085
Author(s):  
Kevin Dowd
Keyword(s):  
Order Statistics ◽  
Confidence Intervals ◽  
Risk Measures

Confidence intervals based on interpolated order statistics

1986 ◽  
Vol 4 (2) ◽  
pp. 75-79 ◽  
Author(s):  
Thomas P Hettmansperger ◽  
Simon J Sheather
Keyword(s):  
Order Statistics ◽  
Confidence Intervals

scholarly journals OPTIMALITY TESTING IN STOCHASTIC AND HEURISTIC ALGORITHMS

2006 ◽  
Vol 12 (1) ◽  
pp. 4-10 ◽  
Author(s):  
Vaida Bartkutė ◽  
Graûvydas Felinskas ◽  
Leonidas Sakalauskas
Keyword(s):  
Simulated Annealing ◽  
Order Statistics ◽  
Confidence Intervals ◽  
Stochastic Approximation ◽  
Bin Packing ◽  
Heuristic Algorithms ◽  
Continuous Optimization ◽  
Packing Problem ◽  
Heuristic Optimization ◽  
Annealing Algorithms

In this paper we consider the application of order statistics to establish the optimality in stochastic and heuristic optimization algorithms. We suggest a method for the estimation of confidence intervals of minimum using order statistics which is implemented for optimality testing and stopping in stochastic approximation and Simulated Annealing algorithms. The efficiency of this approach is discussed using the results of application to continuous optimization and Bin‐packing problem

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