A survey of a hurdle model for heavy-tailed data based on the generalized lambda distribution
Author:
Affiliation:
1. Instituto de Matemática e Estatística, Universidade de São Paulo, São Paulo, Brazil;
2. Faculdade de Economia, Administração e Contabilidade, Universidade de São Paulo, São Paulo, Brazil
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2018.1549251
Reference45 articles.
1. Modeling Insurance Claims with Extreme Observations: Transformed Kernel Density and Generalized Lambda Distribution
2. On Some Global Measures of the Deviations of Density Function Estimates
3. Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database
4. Option pricing based on the generalized lambda distribution
5. Zero-inflated truncated generalized Pareto distribution for the analysis of radio audience data
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1. On the goodness-of-fits of the generalized lambda distribution on high-frequency stock index returns;Cogent Economics & Finance;2022-07-08
2. Gaussian quadrature method for GLD parameter estimation;Communications in Statistics - Simulation and Computation;2021-02-26
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