Robust statistical modeling using the Birnbaum-Saunders-t distribution applied to insurance

Gilberto Paula, Victor Leiva, Michelli Barros, Shuangzhe Liu

    Research output: Contribution to journalArticle

    61 Citations (Scopus)

    Abstract

    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
    Original languageEnglish
    Pages (from-to)16-34
    Number of pages19
    JournalApplied Stochastic Models in Business and Industry
    Volume28
    Issue number1
    DOIs
    Publication statusPublished - 2012

    Fingerprint

    t-distribution
    Statistical Modeling
    Insurance
    Regression Model
    Birnbaum-Saunders Distribution
    Influence Diagnostics
    EM Algorithm
    Maximum Likelihood Estimation
    Diagnostics
    Maximum likelihood estimation
    Modeling
    Students
    Regression model
    Model
    Generalization
    Student-t distribution
    EM algorithm

    Cite this

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    title = "Robust statistical modeling using the Birnbaum-Saunders-t distribution applied to insurance",
    abstract = "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",
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    pages = "16--34",
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    Robust statistical modeling using the Birnbaum-Saunders-t distribution applied to insurance. / Paula, Gilberto; Leiva, Victor; Barros, Michelli; Liu, Shuangzhe.

    In: Applied Stochastic Models in Business and Industry, Vol. 28, No. 1, 2012, p. 16-34.

    Research output: Contribution to journalArticle

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    AU - Paula, Gilberto

    AU - Leiva, Victor

    AU - Barros, Michelli

    AU - Liu, Shuangzhe

    PY - 2012

    Y1 - 2012

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    AB - 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

    U2 - 10.1002/asmb.887

    DO - 10.1002/asmb.887

    M3 - Article

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    JF - Applied Stochastic Models in Business and Industry

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