Statistical inference for a new class of multivariate Pareto distributions

DOI10.1080/03610918.2013.861627zbMATH Open1341.62113OpenAlexW3121608190MaRDI QIDQ2809618FDOQ2809618

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)

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

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