Robust statistical modeling using the Birnbaum-Saunders-t distribution applied to insurance
| Contribuinte(s) |
UNIVERSIDADE DE SÃO PAULO |
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| Data(s) |
05/11/2013
05/11/2013
2012
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| Resumo |
In this paper, we carry out robust modeling and influence diagnostics in Birnbaum-Saunders (BS) regression models. Specifically, we present some aspects related to BS and log-BS distributions and their generalizations from the Student-t distribution, and develop BS-t regression models, including maximum likelihood estimation based on the EM algorithm and diagnostic tools. In addition, we apply the obtained results to real data from insurance, which shows the uses of the proposed model. Copyright (c) 2011 John Wiley & Sons, Ltd. CNPq [Casadinho 620150/2008-4, Universal-477747/2008-6, PROSUL-490429/2008-4, INCTMat 57.33523/2008-8] CNPq FAPESP, Brazil FAPESP (Brazil) FONDECYT (Chile) FONDECYT, Chile [1080326] |
| Identificador |
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, HOBOKEN, v. 28, n. 1, supl. 4, Part 1, pp. 16-34, JAN-FEB, 2012 1524-1904 http://www.producao.usp.br/handle/BDPI/41435 10.1002/asmb.887 |
| Idioma(s) |
eng |
| Publicador |
WILEY-BLACKWELL HOBOKEN |
| Relação |
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY |
| Direitos |
restrictedAccess Copyright WILEY-BLACKWELL |
| Palavras-Chave | #EM ALGORITHM #GENERALIZED BIRNBAUM-SAUNDERS AND SINH-NORMAL DISTRIBUTIONS #INFLUENCE DIAGNOSTICS #LIKELIHOOD METHODS #LOG-LINEAR MODELS #ROBUSTNESS #REGRESSION-MODELS #INFLUENCE DIAGNOSTICS #MAXIMUM-LIKELIHOOD #LIFE DISTRIBUTIONS #LOCAL INFLUENCE #INCOMPLETE-DATA #EM-ALGORITHM #ESTIMATOR #FAMILY #OPERATIONS RESEARCH & MANAGEMENT SCIENCE #MATHEMATICS, INTERDISCIPLINARY APPLICATIONS #STATISTICS & PROBABILITY |
| Tipo |
article original article publishedVersion |
