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

doi:10.3934/mbe.2021011

	A distributed quantile estimation algorithm of heavy-tailed distribution with massive datasets
	Xie, Xiaoyue 1,2; Shi, Jian 1,2
刊名	MATHEMATICAL BIOSCIENCES AND ENGINEERING
	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
出版者	AMER INST MATHEMATICAL SCIENCES-AIMS
WOS记录号	WOS:000604617900011
内容类型	期刊论文
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.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, 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.