Statistical inference for a new class of multivariate Pareto distributions

DOI10.1080/03610918.2013.861627MaRDI QIDQ2809618zbMATH OpenOpenAlexFDO

Authors Alexandru V. Asimit, Edward Furman, Raluca Vernic

Publication date 30 May 2016

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://openaccess.city.ac.uk/id/eprint/13123/1/Asimit%20et%20al%202013_rev3.pdf

zbMATH Keywords

expectation-maximization algorithmmaximum likelihood estimationmethod of momentscommon shock modelmultivariate Pareto distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Point estimation (62F10) Estimation in multivariate analysis (62H12)

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Cites work

• scientific article; zbMATH DE number 5604057 (Why is no real title available?)
• Estimating the parameters of the Marshall-Olkin bivariate Weibull distribution by EM algorithm
• ML estimation for multivariate shock models via an EM algorithm
• On a multivariate Pareto distribution
• On the convergence properties of the EM algorithm

Cited in

(13)

• Some variations of EM algorithms for Marshall-Olkin bivariate Pareto distribution with location and scale
• JOINT LIFE INSURANCE PRICING USING EXTENDED MARSHALL–OLKIN MODELS
• Weighted allocations, their concomitant-based estimators, and asymptotics
• ML estimation for multivariate shock models via an EM algorithm
• Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
• Parametric estimation under a class of multivariate distributions
• A Marshall-Olkin type multivariate model with underlying dependent shocks
• Tail maximal dependence in bivariate models: estimation and applications
• A new Pareto-type distribution with applications in reliability and income data
• Archimedean-based Marshall-Olkin distributions and related dependence structures
• A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited
• Inference about the bivariate new extended Weibull distribution based on complete and censored data
• Multivariate Pareto Distributions: Inference and Financial Applications

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