Multivariate density estimation using dimension reducing information and tail flattening transformations
AbstractWe propose a nonparametric multiplicative bias corrected transformation estimator designed for heavy tailed data. The multiplicative correction is based on prior knowledge and has a dimension reducing effect at the same time as the original dimension of the estimation problem is retained. Adding a tail flattening transformation improves the estimation significantly-particularly in the tail-and provides significant graphical advantages by allowing the density estimation to be visualized in a simple way. The combined method is demonstrated on a fire insurance data set and in a data-driven simulation study.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 48 (2011)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/locate/inca/505554
Bias reduction Kernel Multiplicative correction;
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