INVESTIGATING APPROXIMATIONS AND PARAMETER ESTIMATION OF THE MULTIVARIATE GENERALIZED BURR-GAMMA

被引：0

作者：

Verster, A. ^{[1
]}

de Waal, D. J. ^{[1
]}

机构：

[1] Univ Free State, Dept Math Stat & Actuarial Sci, Bloemfontein, South Africa

来源：

SOUTH AFRICAN STATISTICAL JOURNAL | 2010年 / 44卷 / 02期

关键词：

Approximation; Estimation; Extreme Values; Kolmogorov-Smirnov; MGBG; QQ-plot;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The MGBG is considered for modelling multivariate data especially containing extreme values. This article is an extension and comparison to an earlier article by Beirlant et al. (2000). Special attention is given to the approximations of the expected value and covariance of the MGBG and to the estimation of parameters. The Kolmogorov-Smirnov goodness-of-fit measure is considered for estimating some of the parameters.

引用

页码：159 / 192

页数：34

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