search

UMD     This Site





Reliable estimation of tail probabilities is important in fields from finance, to geophysics, to meteorology, to the design of ships, and to optics.

A new paper published in Mathematics and Statistics presents the novel statistical idea of “Down-Up” sequences which “capture” small tail probabilities with surprising precision without knowing the underlying probability distributions. In Estimation of Small Tail Probabilities by Repeated Fusion, ISR-affiliated Professor Benjamin Kedem (Math) and his colleagues Lemeng Pan, Paul J. Smith and Chen Wang describe the idea, its implementation, and its usefulness in the estimation of small tail probabilities using limited amounts of data.

They show how to estimate any threshold probability from data below or even far below the threshold through repeated fusion of the data with externally generated random samples. This is referred to as repeated out of sample fusion (ROSF). A comparison of the approach with peaks-over-threshold (POT) across different tail types shows that ROSF provides more precise point and interval estimates based on moderately large samples.

The ideas presented in this paper can be extended in a number of ways, such as using “fake” data from distributions other than uniform, and using different fusion mechanisms together with appropriate inferential methods other than the semiparametric method used in the paper. Different ways of connecting X0 and the fusion samples can be explored, other than by means of their distributions as expressed by the density ratio model.



Related Articles:
Xuze Zhang wins outstanding graduate student award from the Washington Statistical Society
Radon estimation model is featured as Wiley 'Layman's Abstract'
Alumnus Amir Ali Ahmadi receives PECASE Award
Journal names statistical work on environmental extremes to its 'selected articles' list
When does a package delivery company benefit from having two people in the truck?
Al-Obaid, Adomaitis publish renewable energy algorithm in Royal Society of Chemistry journal
S. Raghu Raghavan is a runner-up for INFORMS Computing Society Prize
Michael Fu part of $1M NSF grant to model, disrupt illicit kidney trafficking networks
Alexander Estes joins ISR faculty
Alum Marcos Vasconcelos to join FSU faculty this fall

February 11, 2020


«Previous Story  

 

 

Current Headlines

Remembering Rance Cleaveland (1961-2024)

Dinesh Manocha Inducted into IEEE VGTC Virtual Reality Academy

ECE Ph.D. Student Ayooluwa (“Ayo”) Ajiboye Recognized at APEC 2024

Balachandran, Cameron, Yu Receive 2024 MURI Award

UMD, Booz Allen Hamilton Announce Collaboration with MMEC

New Research Suggests Gossip “Not Always a Bad Thing”

Ingestible Capsule Technology Research on Front Cover of Journal

Governor’s Cabinet Meeting Features Peek into Southern Maryland Research and Collaboration

Celebrating the Impact of Black Maryland Engineers and Leaders

Six Clark School Faculty Receive 2024 DURIP Awards

 
 
Back to top  
Home Clark School Home UMD Home