Multivariate density estimation using dimension reducing information and tail flattening trans\-formations

DOI10.1016/j.insmatheco.2010.10.002zbMath1232.62055OpenAlexW3121996696MaRDI QIDQ2276209

Tine Buch-Kromann, Montserrat Guillen, Oliver B. Linton, Jens Perch Nielsen

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.10.002

zbMATH Keywords

bias reductionkernelmultiplicative correction

Mathematics Subject Classification ID

Density estimation (62G07) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)

Related Items

Smoothing survival densities in practice ⋮ Multivariate density estimation using dimension reducing information and tail flattening transformations for truncated or censored data ⋮ Tail density estimation for exploratory data analysis using kernel methods ⋮ Gram-Charlier densities: maximum likelihood versus the method of moments

Uses Software

• KernSmooth

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Multivariate Tweedie distributions and some related capital-at-risk analyses
• Tolerance intervals for quantiles of bivariate risks and risk measurement
• Tail asymptotic results for elliptical distributions
• Modelling dependence
• Inverse beta transformation in kernel density estimation
• Goodness-of-fit test for tail copulas modeled by elliptical copulas
• Univariate and bivariate GPD methods for predicting extreme wind storm losses
• Bounds and approximations for sums of dependent log-elliptical random variables
• Optimal rates of convergence for nonparametric estimators
• Kernel density estimation of actuarial loss functions
• Nonparametric density estimation with a parametric start
• Skewed bivariate models and nonparametric estimation for the CTE risk measure
• Non-parametric regression with a latent time series
• Nonparametric analysis of aggregate loss models
• EVT-based estimation of risk capital and convergence of high quantiles
• Non-parametric estimation of operational risk losses adjusted for under-reporting
• Transformations in Density Estimation
• Mobius-Like Mappings and Their Use in Kernel Density Estimation
• Iterated Transformation-Kernel Density Estimation
• Correction of Density Estimators that are not Densities
• Multivariate Density Estimation
• Kernel density estimation for heavy-tailed distributions using the champernowne transformation
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
• The Graduation of Income Distributions