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Poudyal C, Brazauskas V. Finite-sample performance of the T- and W-estimators for the Pareto tail index under data truncation and censoring. J STAT COMPUT SIM 2022. [DOI: 10.1080/00949655.2022.2146114] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
- Chudamani Poudyal
- Department of Mathematics, Tennessee Technological University, Cookeville, TN, USA
- Department of Mathematical Sciences, University of Wisconsin-Milwaukee, Milwaukee, WI, USA
| | - Vytaras Brazauskas
- Department of Mathematical Sciences, University of Wisconsin-Milwaukee, Milwaukee, WI, USA
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Andria J. A computational proposal for a robust estimation of the Pareto tail index: An application to emerging markets. Appl Soft Comput 2022. [DOI: 10.1016/j.asoc.2021.108048] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/29/2022]
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Minkah R, de Wet T, Ghosh A. Robust estimation of Pareto-type tail index through an exponential regression model. COMMUN STAT-THEOR M 2021. [DOI: 10.1080/03610926.2021.1916530] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/21/2022]
Affiliation(s)
- Richard Minkah
- Department of Statistics and Actuarial Science, School of Physical and Mathematical Sciences, College of Basic and Applied Sciences, University of Ghana, Accra, Ghana
| | - Tertius de Wet
- Department of Statistics and Actuarial Science, Stellenbosch University, Stellenbosch, South Africa
| | - Abhik Ghosh
- Interdisciplinary Statistical Research Unit, Indian Statistical Institute, Kolkata, India
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Safari MAM, Masseran N, Ibrahim K. On the identification of extreme outliers and dragon-kings mechanisms in the upper tail of income distribution. J Appl Stat 2019. [DOI: 10.1080/02664763.2019.1566447] [Citation(s) in RCA: 4] [Impact Index Per Article: 0.8] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/27/2022]
Affiliation(s)
- Muhammad Aslam Mohd Safari
- School of Mathematical Sciences, Faculty of Science and Technology, Universiti Kebangsaan Malaysia, Selangor, Malaysia
- Present address: Centre for Modelling and Data Science, Universiti Kebangsaan Malaysia, Selangor, Malaysia
| | - Nurulkamal Masseran
- School of Mathematical Sciences, Faculty of Science and Technology, Universiti Kebangsaan Malaysia, Selangor, Malaysia
- Present address: Centre for Modelling and Data Science, Universiti Kebangsaan Malaysia, Selangor, Malaysia
| | - Kamarulzaman Ibrahim
- School of Mathematical Sciences, Faculty of Science and Technology, Universiti Kebangsaan Malaysia, Selangor, Malaysia
- Present address: Centre for Modelling and Data Science, Universiti Kebangsaan Malaysia, Selangor, Malaysia
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Fischer S, Fried R, Wendler M. Multivariate generalized linear-statistics of short range dependent data. Electron J Stat 2016. [DOI: 10.1214/16-ejs1124] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.1] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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Kantar YM, Yildirim V. Robust Estimation for Parameters of the Extended Burr Type III Distribution. COMMUN STAT-SIMUL C 2014. [DOI: 10.1080/03610918.2013.839032] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.2] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/25/2022]
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Detecting influential data points for the Hill estimator in Pareto-type distributions. Comput Stat Data Anal 2013. [DOI: 10.1016/j.csda.2012.07.011] [Citation(s) in RCA: 13] [Impact Index Per Article: 1.2] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/24/2022]
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Alfons A, Templ M, Filzmoser P. Robust estimation of economic indicators from survey samples based on Pareto tail modelling. J R Stat Soc Ser C Appl Stat 2012. [DOI: 10.1111/j.1467-9876.2012.01063.x] [Citation(s) in RCA: 36] [Impact Index Per Article: 3.0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/28/2022]
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Stehlík M, Fabián Z, Střelec L. Small Sample Robust Testing for Normality against Pareto Tails. COMMUN STAT-SIMUL C 2012. [DOI: 10.1080/03610918.2012.625849] [Citation(s) in RCA: 14] [Impact Index Per Article: 1.2] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/28/2022]
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Stehlík M, Potocký R, Waldl H, Fabián Z. On the favorable estimation for fitting heavy tailed data. Comput Stat 2010. [DOI: 10.1007/s00180-010-0189-1] [Citation(s) in RCA: 19] [Impact Index Per Article: 1.4] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/19/2022]
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Brazauskas V, Jones BL, Zitikis R. Robust fitting of claim severity distributions and the method of trimmed moments. J Stat Plan Inference 2009. [DOI: 10.1016/j.jspi.2008.09.012] [Citation(s) in RCA: 18] [Impact Index Per Article: 1.2] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/21/2022]
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Vandewalle B, Beirlant J, Christmann A, Hubert M. A robust estimator for the tail index of Pareto-type distributions. Comput Stat Data Anal 2007. [DOI: 10.1016/j.csda.2007.01.003] [Citation(s) in RCA: 30] [Impact Index Per Article: 1.8] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/23/2022]
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Brazauskas V. Information Matrix for Pareto(IV), Burr, and Related Distributions. COMMUN STAT-THEOR M 2003. [DOI: 10.1081/sta-120018188] [Citation(s) in RCA: 9] [Impact Index Per Article: 0.4] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/03/2022]
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Brazauskas V, Serfling R. Small sample performance of robust estimators of tail parameters for pareto and exponential models. J STAT COMPUT SIM 2001. [DOI: 10.1080/00949650108812103] [Citation(s) in RCA: 14] [Impact Index Per Article: 0.6] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/23/2022]
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