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Activity Number: 142
Type: Contributed
Date/Time: Monday, August 10, 2015 : 8:30 AM to 10:20 AM
Sponsor: Section on Statistical Computing
Abstract #316213
Title: A Simple and Effective Discretization of a Continuous Random Variable
Author(s): Dawit Zerom* and Zvi Drezner
Companies: California State University at Fullerton and California State University at Fullerton
Keywords: Continuous distribution ; Discrete distribution ; Mean and variance ; Optimization ; Higher-order features
Abstract:

A generally applicable discretization method is proposed to approximate a continuous distribution on a real line with a discrete one, supported by a finite set. The method adopts a criterion which is shown to be flexible in approximating higher order features of the underlying continuous distribution while automatically preserving mean and variance. To illustrate the effectiveness of the method, several examples covering a wide-range continuous distributions are analyzed. A computer implementation (using R) of the proposed procedure is provided.


Authors who are presenting talks have a * after their name.

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