報告題目：Bayes risk of mean excess: Theory and applications
主講人：Ehsan S. Soofi
時間：2017年11月21日下午3:30
地點：偉德國際1946bv官網主樓429
主講人簡介：
EHSAN S. SOOFI is a distinguished professor of Management Science and Statistics at Sheldon B. Lubar School of Business, University of Wisconsin-Milwaukee. He got his BA in mathematics (1969), MA in statistics (1974) and PhD in applied statistics (1985) from University of California (Los Angeles, Berkeley, Riverside). He is a Fellow of the American Statistical Association, a Fellow of the Info-Metrics Institute. His research interests are on Information-theoretic and Bayesian modeling, applications to reliability analysis, management science, and economics. His publications are appeared in the following journals:
Journal of the American Statistical Association
European Journal of Operational Research
Journal of Applied Probability,
Econometric Reviews
Strategic Management Journal
Reliability Engineering & System Safety
Naval Research Logistics
Statistical Science
Probability in the Engineering and Information Sciences
Computational Statistics and Data Analysis
Journal of Econometrics
And others.
內容介紹：
The Bayes risk of the mean residual (MR) or excess of a random variable above a threshold is defined as the expectation with respect to a prior for the threshold. We show that the standard deviation provides a tight upper bound for the Bayes risk of the MR. This result characterizes the exponential distribution and is tighter than a known bound for the measure. The ratio of Bayes risk of the MR to the standard deviation provides a risk index which reached the maximum of one if and only if the underlying distribution is exponential. Distributional examples illustrate the tightness of the standard deviation bound, improvement over the known bound, and the risk index. I present an overview of recent results on the Bayes risk of the MR and describe applications to reliability of system, ranking forecast models, and New York City's taxi trip times.
（承辦：管理科學與物流系，科研與學術交流中心）
