About: On the Favorable Estimation for Fitting Heavy Tailed Data

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Assessment of heavy tailed data and its compound sums has many applications in insurance, auditing and operational risk capital assessment among others. In this paper, we compare the classical estimators (maximum likelihood, QQ and moment estimators) with the recently introduced robust estimators of “generalized median, “trimmed mean and estimators based on t-score moments. We derive the exact distribution of the likelihood ratio tests of homogeneity and simple hypothesis on the tail index of a two-parameter Pareto model. Such exact tests support the assessment of the performance of estimators. In particular, we discuss some problems that one can encounter when misemploying the log-normal assumption based methods supported by the Basel II framework. Real data and simulated examples illustrate the methods. Assessment of heavy tailed data and its compound sums has many applications in insurance, auditing and operational risk capital assessment among others. In this paper, we compare the classical estimators (maximum likelihood, QQ and moment estimators) with the recently introduced robust estimators of “generalized median, “trimmed mean and estimators based on t-score moments. We derive the exact distribution of the likelihood ratio tests of homogeneity and simple hypothesis on the tail index of a two-parameter Pareto model. Such exact tests support the assessment of the performance of estimators. In particular, we discuss some problems that one can encounter when misemploying the log-normal assumption based methods supported by the Basel II framework. Real data and simulated examples illustrate the methods. (en)
Title	On the Favorable Estimation for Fitting Heavy Tailed Data On the Favorable Estimation for Fitting Heavy Tailed Data (en)
skos:prefLabel	On the Favorable Estimation for Fitting Heavy Tailed Data On the Favorable Estimation for Fitting Heavy Tailed Data (en)
skos:notation	RIV/67985807:_____/10:00342150!RIV11-AV0-67985807
http://linked.open...avai/riv/aktivita	Z
http://linked.open...avai/riv/aktivity	Z(AV0Z10300504)
http://linked.open...iv/cisloPeriodika	3
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Fabián, Zdeněk
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav informatiky AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	276863
http://linked.open...ai/riv/idVysledku	RIV/67985807:_____/10:00342150
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	heavy-tailed distribution; exact likelihood ratio test; T-score moment estimator; insurance; Basel II (en)
http://linked.open.../riv/klicoveSlovo	insurance Basel II exact likelihood ratio test T-score moment estimator heavy-tailed distribution
http://linked.open...odStatuVydavatele	DE - Spolková republika Německo
http://linked.open...ontrolniKodProRIV	[C9E3A1CC9217]
http://linked.open...i/riv/nazevZdroje	Computational Statistics
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	4 (xsd:int)
http://linked.open...UplatneniVysledku	2010
http://linked.open...v/svazekPeriodika	25
http://linked.open...iv/tvurceVysledku	Fabián, Zdeněk Stehlík, M. Potocký, R. Waldl, H.
http://linked.open...ain/vavai/riv/wos	000280074100008
http://linked.open...n/vavai/riv/zamer	Informatika pro informační společnost: modely, algoritmy, aplikace
issn	0943-4062
number of pages	19 (xsd:int)

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