Fitting phase-type scale mixtures to heavy-tailed data and distributions

DOI10.1007/s10687-017-0306-4zbMath1396.60017arXiv1705.04357OpenAlexW2613795777MaRDI QIDQ726126

Leonardo Rojas-Nandayapa, Mogens Bladt

Publication date: 3 August 2018

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.04357

zbMATH Keywords

EM algorithmstatistical inferenceheavy-tailedscale mixturesapproximating distributionsphase-type

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Extreme value theory; extremal stochastic processes (60G70) Markov processes: estimation; hidden Markov models (62M05) Probability distributions: general theory (60E05)

Related Items (10)

Inhomogeneous phase-type distributions and heavy tails ⋮ Heavy-tailed phase-type distributions: a unified approach ⋮ Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type ⋮ Multivariate fractional phase-type distributions ⋮ Continuous scaled phase-type distributions ⋮ PHASE-TYPE DISTRIBUTIONS FOR CLAIM SEVERITY REGRESSION MODELING ⋮ On a Dirichlet process mixture representation of phase-type distributions ⋮ Matrix Mittag-Leffler distributions and modeling heavy-tailed risks ⋮ AN EM ALGORITHM FOR FITTING A NEW CLASS OF MIXED EXPONENTIAL REGRESSION MODELS WITH VARYING DISPERSION ⋮ Penalised likelihood methods for phase-type dimension selection

Uses Software

• EMpht

Cites Work

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