Financial data modeling by Poisson mixture regression

DOI10.1080/02664763.2013.807332OpenAlexW1989181573MaRDI QIDQ5129102FDOQ5129102

Authors:

Publication date: 26 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2013.807332

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zbMATH Keywords

count dataEM algorithmoverdispersioncredit scoringPoisson mixture regression models

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Estimating the dimension of a model
• Finite mixture models
• Bayesian Measures of Model Complexity and Fit
• A new look at the statistical model identification
• Finite mixture and Markov switching models.
• Mixed Poisson Regression Models with Covariate Dependent Rates
• Model selection and Akaike's information criterion (AIC): The general theory and its analytical extensions
• Assessing the accuracy of the maximum likelihood estimator: Observed versus expected Fisher information
• Model Selection and Multimodel Inference
• Overdispersion: Models and estimation.
• Statistical methods in finance
• Analysis of defaulters' behaviour using the Poisson-mixture approach
• Estimating the Propagation Rate of a Viral Infection of Potato Plants via Mixtures of Regressions
• On the Mixture of Distributions
• Title not available (Why is that?)
• Estimating infant mortality in Colombia: some overdispersion modelling approaches

Cited In (5)

• Robust high dimensional expectation maximization algorithm via trimmed hard thresholding
• Modeling right-skewed financial data streams: a likelihood inference based on the generalized Birnbaum-Saunders mixture model
• Analysis of defaulters' behaviour using the Poisson-mixture approach
• Bayesian estimation for a mixture of simplex distributions with an unknown number of components: HDI analysis in Brazil
• A multivariate Poisson mixture model for marketing applications

Uses Software

• R
• flexmix
• mixtools

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