Buch-Kromann, Tine, Guillén, Montserrat, Linton, Oliver and Nielsen, Jens Perch (2011) Multivariate density estimation using dimension reducing information and tail flattening transformations. Insurance: Mathematics and Economics, 48 (1). pp. 99-110. ISSN 0167-6687
Full text not available from this repository.Abstract
We propose a nonparametric multiplicative bias corrected transformation estimator designed for heavy tailed data. The multiplicative correction is based on prior knowledge and has a dimension reducing effect at the same time as the original dimension of the estimation problem is retained. Adding a tail flattening transformation improves the estimation significantly-particularly in the tail-and provides significant graphical advantages by allowing the density estimation to be visualized in a simple way. The combined method is demonstrated on a fire insurance data set and in a data-driven simulation study. © 2010 Elsevier B.V.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.elsevier.com/wps/find/journaldescriptio... |
| Additional Information: | © 2010 Elsevier B.V. |
| Divisions: | Economics STICERD Financial Markets Group |
| Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
| Date Deposited: | 30 Mar 2011 14:42 |
| Last Modified: | 14 Mar 2024 18:09 |
| URI: | http://eprints.lse.ac.uk/id/eprint/33351 |
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