Robust estimation of risks from small samples

DOI10.1098/RSTA.2016.0299MaRDI QIDQ4561722zbMATH OpenOpenAlexWikidataFDO

Authors Simon H. Tindemans, Goran Strbac

Publication date 13 December 2018

Published in Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1311.5052, http://europepmc.org/articles/pmc5514355

zbMATH Keywords

Bayesian inferenceDirichlet processimprecise probabilitiesnonparametric methodsrare event analysisresampling methods

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Nonparametric robustness (62G35)

Abstract: Data-driven risk analysis involves the inference of probability distributions from measured or simulated data. In the case of a highly reliable system, such as the electricity grid, the amount of relevant data is often exceedingly limited, but the impact of estimation errors may be very large. This paper presents a robust nonparametric Bayesian method to infer possible underlying distributions. The method obtains rigorous error bounds even for small samples taken from ill-behaved distributions. The approach taken has a natural interpretation in terms of the intervals between ordered observations, where allocation of probability mass across intervals is well-specified, but the location of that mass within each interval is unconstrained. This formulation gives rise to a straightforward computational resampling method: Bayesian Interval Sampling. In a comparison with common alternative approaches, it is shown to satisfy strict error bounds even for ill-behaved distributions.

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Cites work

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Cited in

(1)

• Theoretical considerations of Fisher's theorem in small at-risk populations

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• ismev

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