A Pareto scale-inflated outlier model and its Bayesian analysis
Methodology
2016-11-03 v1
Abstract
This paper develops a Pareto scale-inflated outlier model. This model is intended for use when data from some standard Pareto distribution of interest is suspected to have been contaminated with a relatively small number of outliers from a Pareto distribution with the same shape parameter but with an inflated scale parameter. The Bayesian analysis of this Pareto scale-inflated outlier model is considered and its implementation using the Gibbs sampler is discussed. The paper contains three worked illustrative examples, two of which feature actual insurance claims data.
Cite
@article{arxiv.1611.00717,
title = {A Pareto scale-inflated outlier model and its Bayesian analysis},
author = {David P. M. Scollnik},
journal= {arXiv preprint arXiv:1611.00717},
year = {2016}
}
Comments
30 pages, 8 figures