一种新的重尾指数分布：推理、回归模型及其应用

IF 1.1 Q3 STATISTICS & PROBABILITY

Pakistan Journal of Statistics and Operation 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

Pakistan Journal of Statistics and Operation Research STATISTICS & PROBABILITY-

CiteScore

3.30

自引率

26.70%

发文量

期刊介绍： Pakistan Journal of Statistics and Operation Research. PJSOR is a peer-reviewed journal, published four times a year. PJSOR publishes refereed research articles and studies that describe the latest research and developments in the area of statistics, operation research and actuarial statistics.