A parsimonious dynamic mixture for heavy-tailed distributions

被引:0
|
作者
Bee, Marco [1 ]
机构
[1] Univ Trento, Dept Econ & Management, Trento, Italy
关键词
Dynamic mixtures; Exponential distribution; Noisy cross-entropy; Weight function;
D O I
10.1016/j.matcom.2024.11.011
中图分类号
TP39 [计算机的应用];
学科分类号
081203 ; 0835 ;
摘要
Dynamic mixture distributions are convenient models for highly skewed and heavy-tailed data. However, estimation has proved to be challenging and computationally expensive. To address this issue, we develop a more parsimonious model, based on a one-parameter weight function given by the exponential cumulative distribution function. Parameter estimation is carried out via maximum likelihood, approximate maximum likelihood and noisy cross-entropy. Simulation experiments and real-data analyses suggest that approximate maximum likelihood is the best method in terms of RMSE, albeit at a high computational cost. With respect to the version of the dynamic mixture with weight equal to the two-parameter Cauchy cumulative distribution function, the reduced flexibility of the present model is more than compensated by better statistical and computational properties.
引用
收藏
页码:193 / 206
页数:14
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