Financial data modeling by Poisson mixture regression

DOI10.1080/02664763.2013.807332MaRDI QIDQ5129102zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

count dataEM algorithmoverdispersioncredit scoringPoisson mixture regression models

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• scientific article; zbMATH DE number 1012992 (Why is no real title available?)
• A new look at the statistical model identification
• Analysis of defaulters' behaviour using the Poisson-mixture approach
• Assessing the accuracy of the maximum likelihood estimator: Observed versus expected Fisher information
• Bayesian Measures of Model Complexity and Fit
• Estimating infant mortality in Colombia: some overdispersion modelling approaches
• Estimating the Propagation Rate of a Viral Infection of Potato Plants via Mixtures of Regressions
• Estimating the dimension of a model
• Finite mixture and Markov switching models.
• Finite mixture models
• Mixed Poisson Regression Models with Covariate Dependent Rates
• Model Selection and Multimodel Inference
• Model selection and Akaike's information criterion (AIC): The general theory and its analytical extensions
• On the Mixture of Distributions
• Overdispersion: Models and estimation.
• Statistical methods in finance

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

Describes a project that uses

Uses Software

• mixtools
• flexmix
• R

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