Related papers: A Pareto scale-inflated outlier model and its Baye…
The Pareto model is very popular in risk management, since simple analytical formulas can be derived for financial downside risk measures (Value-at-Risk, Expected Shortfall) or reinsurance premiums and related quantities (Large Claim Index,…
The upper tail of a claim size distribution of a property line of business is frequently modelled by Pareto distribution. However, the upper tail does not need to be Pareto distributed, extraordinary shapes are possible. Here, the…
Random variables of the generalized Pareto distribution, can be transformed to that of the Pareto distribution. Explicit expressions exist for the maximum likelihood estimators of the parameters of the Pareto distribution. The performance…
A widely used tool in the study of risk, insurance and extreme values is the mean excess plot. One use is for validating a generalized Pareto model for the excess distribution. This paper investigates some theoretical and practical aspects…
A new empirical Bayes approach to variable selection in the context of generalized linear models is developed. The proposed algorithm scales to situations in which the number of putative explanatory variables is very large, possibly much…
Nested error regression models are useful tools for analysis of grouped data, especially in the case of small area estimation. This paper suggests a nested error regression model using uncertain random effects in which the random effect in…
Multivariate peaks over thresholds modeling based on generalized Pareto distributions has up to now only been used in few and mostly 2-dimensional situations. This paper contributes theoretical understanding, physically based models,…
Outlier detection is a core task in data mining with a plethora of algorithms that have enjoyed wide scale usage. Existing algorithms are primarily focused on detection, that is the identification of outliers in a given dataset. In this…
A new family of inflationary models is introduced and analysed. The behaviour of the parameters characterising the models suggest preferred values, which generate the most interesting testable predictions. Results are further improved if…
In risk analysis, the mean excess plot is a commonly used exploratory plotting technique for confirming iid data is consistent with a generalized Pareto assumption for the underlying distribution, since in the presence of such a…
In various applications of heavy-tail modelling, the assumed Pareto behavior is tempered ultimately in the range of the largest data. In insurance applications, claim payments are influenced by claim management and claims may for instance…
We propose a novel Bayesian optimisation procedure for outlier detection in the Capital Asset Pricing Model. We use a parametric product partition model to robustly estimate the systematic risk of an asset. We assume that the returns follow…
This paper provides bayesian analysis of singular Marshall-Olkin bivariate Pareto distribution. We consider three parameter singular Marshall-Olkin bivariate Pareto distribution. We consider two types of prior - reference prior and gamma…
Determining if two histograms are consistent, whether they have been drawn from the same underlying distribution or not, is a common problem in physics. Existing approaches are not only limited in power but also inapplicable to histograms…
The Poisson distribution is often used as a standard model for count data. Quite often, however, such data sets are not well fit by a Poisson model because they have more zeros than are compatible with this model. For these situations, a…
This paper builds on recent research that focuses on regression modeling of continuous bounded data, such as proportions measured on a continuous scale. Specifically, it deals with beta regression models with mixed effects from a Bayesian…
This paper proposes an adaptive penalized weighted mean regression for outlier detection of high-dimensional data. In comparison to existing approaches based on the mean shift model, the proposed estimators demonstrate robustness against…
Bayesian inference for graphical models has received much attention in the literature in recent years. It is well known that when the graph G is decomposable, Bayesian inference is significantly more tractable than in the general…
We analyze the complexity of Gibbs samplers for inference in crossed random effect models used in modern analysis of variance. We demonstrate that for certain designs the plain vanilla Gibbs sampler is not scalable, in the sense that its…
The inflated beta regression model is widely used for modeling continuous proportions with values at the boundaries. Maximum likelihood estimation for these models is well-known for its sensitivity to outliers, which can severely distort…