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

Recommendations

• A multivariate pareto distribution
• Multivariate Pareto Distributions: Inference and Financial Applications
• A flexible family of multivariate Pareto distributions
• scientific article; zbMATH DE number 1491694
• ML estimation for multivariate shock models via an EM algorithm

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)

Cites Work

• On the convergence properties of the EM algorithm
• Title not available (Why is that?)
• Estimating the parameters of the Marshall-Olkin bivariate Weibull distribution by EM algorithm
• On a multivariate Pareto distribution
• ML estimation for multivariate shock models via an 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
• A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited
• 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
• Inference about the bivariate new extended Weibull distribution based on complete and censored data
• Multivariate Pareto Distributions: Inference and Financial Applications

This page was built for publication: Statistical inference for a new class of multivariate Pareto distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2809618)