Modelling location, scale and shape parameters of the birnbaumsaunders generalized t distribution

Luiz R. Nakamura ； Robert A. Rigby ； Dimitrios M. Stasinopoulos ； Roseli A. Leandro ； Cristian Villegas ； Rodrigo R. Pescim

《Journal of Data Science》 15卷2期 (2017/04) Pp. 221-237

https://doi.org/10.6339/JDS.201704_15(2).0003

摘要

The Birnbaum-Saunders generalized t (BSGT) distribution is a very flflexible family of distributions that admits different degrees of skewness and kurtosis and includes some important special or limiting cases available in the literature, such as the Birnbaum-Saunders and Birnbaum- Saunders t distributions. In this paper we provide a regression type model to the BSGT distribution based on the generalized additive models for location, scale and shape (GAMLSS) framework. The resulting model has high flflexibility and therefore a great potential to model the distribution parameters of response variables that present light or heavy tails, i.e. platykurtic or leptokurtic shapes, as functions of explanatory variables. For different parameter settings, some simulations are performed to investigate the behavior of the estimators. The potentiality of the new regression model is illustrated by means of a real motor vehicle insurance data set.

關鍵字

Finance ； GAMLSS ； generalized additive models ； penalized splines ； positively skewed data