Fitting multivariate Erlang mixtures to data: a roughness penalty approach

DOI10.1016/J.CAM.2020.113216MaRDI QIDQ2222165zbMATH OpenOpenAlexFDO

Authors Wenyong Gui, Rongtan Huang, X. Sheldon Lin

Publication date 3 February 2021

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2020.113216

zbMATH Keywords

GECM algorithmmultivariate Erlang mixturesroughness penaltytruncated and censored data

Mathematics Subject Classification ID

Applications of rough analysis (60L90) Estimation in multivariate analysis (62H12) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Censored data models (62N01) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A class of mixture of experts models for general insurance: theoretical developments
• Computational statistics
• Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application
• Fitting the Erlang mixture model to data via a GEM-CMM algorithm
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 3233290 (Why is no real title available?)
• Inference on the order of a normal mixture
• Modeling dependent risks with multivariate Erlang mixtures
• Modeling interval-censored, clustered cow udder quarter infection times through the shared gamma frailty model
• Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation
• Multivariate mixtures of Erlangs for density estimation under censoring
• ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
• On some properties of a class of multivariate Erlang mixtures with insurance applications
• On the consistency of penalized MLEs for Erlang mixtures
• Pattern recognition and machine learning.
• Testing the number of components in normal mixture regression models

Cited in

(8)

• Fitting the Erlang mixture model to data via a GEM-CMM algorithm
• Multivariate mixtures of Erlangs for density estimation under censoring
• Modeling dependent risks with multivariate Erlang mixtures
• Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application
• Robust estimation of loss models for lognormal insurance payment severity data
• Efficient estimation of Erlang and GPD mixtures using ISCAD penalty with insurance application
• Loss modeling with many-parameter distributions
• A new algorithm for the maximum likelihood estimator in Erlang mixtures

Describes a project that uses

Uses Software

• PRMLT

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