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

10.6339/JDS.201704_15(2).0003

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

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

Journal of Data Science

15卷2期（2017 / 04 / 01）

221 - 237

英文

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.

1. 裴樾(2016)。利用有機不對稱催化反應合成具有四級碳中心之3,3-雙取代羥吲哚化合物。中原大學化學系學位論文。2016。1-206。 
2. 張軒豪(2016)。1,3-雙羧基化合物與 β, β-雙取代硝基烯烴之不對稱有機催化麥克加成反應。中原大學化學系學位論文。2016。1-276。 
3. 林毅(2011)。電漿改質濾材塗佈聚苯胺去除生物氣膠之研究。中原大學土木工程學系學位論文。2011。1-103。 
4. 丁政越(2018)。設計程式化一鍋化合成法應用於聚乙醯基乳糖胺與其衍生物之合成。國立臺灣大學化學系學位論文。2018。1-269。 
5. 方榮坤(2017)。一種利用金屬附載於中孔洞二氧化矽奈米球來進行選擇性氧化芳香性碳氫化合物的策略。國立臺灣大學化學系學位論文。2017。1-72。