一种新的重尾指数分布：推理、回归模型及其应用

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2023-09-03 DOI:10.18187/pjsor.v19i3.4230

A. Afify, R. R. Pescim, G. Cordeiro, H. A. Mahran

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引用次数: 0

摘要

提出了一种新的加权指数-指数分布来对金融数据进行建模。它具有重尾行为，适用于具有右尾的数据。确定了新模型的一些精算措施，并进行了仿真。使用包括贝叶斯方法在内的九种方法估计其参数。对右截尾数据定义了一种新的Log-WEx-Exponential回归模型。通过对财务数据的应用，证明了新模型的重要性。

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A New Heavy-Tailed Exponential Distribution: Inference, Regression Model and Applications

A new weighted exponentiated-exponential distribution is proposed to model financial data. It has heavy-tailed behavior which is suitable for data with right tails. Some actuarial measures for the new model are determined, and simulations are reported. Its parameters are estimated using nine approaches including a Bayesian method. A new Log-WEx-Exponential regression model is defined for right censored data. The importance of the new models is proved by applications to financial data.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.