Nakamura, Luiz R., Rigby, Robert A., Stasinopoulos, Dimitrios, Leandro, Roseli A., Villegas, Cristian and Pescim, Rodrigo R. (2017) Modelling location, scale and shape parameters of the birnbaumsaunders generalized t distribution. Journal of Data Science, 15 (2). pp. 1-16. ISSN 1680-743X
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Modelling location, scale and shape parameters of the birnbaum-saunders generalized t distribution .pdf.pdf - Accepted Version Available under License Creative Commons Attribution Non-commercial No Derivatives. Download (1MB) | Preview |
Abstract / Description
The Birnbaum-Saunders generalized t (BSGT) distribution is a very flflexible family of distributions that admits different degrees of skewness and kurtosis and includes some important special or limiting cases available in the literature, such as the Birnbaum-Saunders and Birnbaum-Saunders t distributions. In this paper we provide a regression type model to the BSGT distribution based on the generalized additive models for location, scale and shape (GAMLSS) framework. The resulting model has high flflexibility and therefore a great potential to model the distribution parameters of response variables that present light or heavy tails, i.e. platykurtic or leptokurtic shapes, as functions of explanatory variables. For different parameter settings, some simulations are performed to investigate the behavior of the estimators. The potentiality of the new regression model is illustrated by means of a real motor vehicle insurance data set.
Item Type: | Article |
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Uncontrolled Keywords: | Finance, Generalized Additive Model for Location, Scale and Shape (GAMLSS), generalized additive models, penalized splines, positively skewed data |
Subjects: | 500 Natural Sciences and Mathematics > 510 Mathematics |
Department: | School of Computing and Digital Media |
Depositing User: | Bal Virdee |
Date Deposited: | 09 May 2019 14:24 |
Last Modified: | 22 Jul 2021 08:12 |
URI: | https://repository.londonmet.ac.uk/id/eprint/4824 |
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