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
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)
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