Hidden truncation in multivariate Pareto (II) data: properties and inference

DOI10.1080/03610918.2021.1897625OpenAlexW3137305642MaRDI QIDQ6116987

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Publication date: 18 July 2023

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2021.1897625

zbMATH Keywords

Bayesian estimationmaximum likelihood estimatehidden truncationmethod of fractional momentsMCMC strategymultivariate P(II) distribution

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

On the asymptotic properties of the likelihood estimates and some inferential issues related to hidden truncated Pareto (type II) model

Cites Work

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• Characterization involving conditional specification
• Inference from iterative simulation using multiple sequences
• Peaks-over-threshold stability of multivariate generalized Pareto distributions
• Confidence intervals for a one-parameter family of multivariate distributions
• Multivariate Pareto Distributions
• A multivariate pareto distribution

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