Financial data modeling by Poisson mixture regression

DOI10.1080/02664763.2013.807332OpenAlexW1989181573MaRDI QIDQ5129102

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Publication date: 26 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2013.807332

zbMATH Keywords

EM algorithmcount dataoverdispersioncredit scoringPoisson mixture regression models

Mathematics Subject Classification ID

Statistics (62-XX)

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Robust high dimensional expectation maximization algorithm via trimmed hard thresholding ⋮ Bayesian estimation for a mixture of simplex distributions with an unknown number of components: HDI analysis in Brazil

Uses Software

• R
• flexmix
• mixtools

Cites Work

• Model selection and Akaike's information criterion (AIC): The general theory and its analytical extensions
• Overdispersion: Models and estimation.
• Estimating the dimension of a model
• Statistical methods in finance
• Finite mixture and Markov switching models.
• On the Mixture of Distributions
• Assessing the accuracy of the maximum likelihood estimator: Observed versus expected Fisher information
• Mixed Poisson Regression Models with Covariate Dependent Rates
• Estimating the Propagation Rate of a Viral Infection of Potato Plants via Mixtures of Regressions
• Model Selection and Multimodel Inference
• Bayesian Measures of Model Complexity and Fit
• Estimating infant mortality in Colombia: some overdispersion modelling approaches
• Analysis of defaulters' behaviour using the Poisson-mixture approach
• A new look at the statistical model identification
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