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    Estimation of parameters of certain thick-tailed distributions with applications

    Author
    Devakumar, Kumaraswamy
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    177949_thesis.pdf (2.795Mb)
    Other Contributors
    Paulson, A. S.; Wilkinson, John W.; Diwan, Romesh K., 1933-; Manners, George E., 1943-;
    Date Issued
    1976-05
    Subject
    Operations research and statistics
    Degree
    PhD;
    Terms of Use
    This electronic version is a licensed copy owned by Rensselaer Polytechnic Institute, Troy, NY. Copyright of original work retained by author.;
    Metadata
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    URI
    https://hdl.handle.net/20.500.13015/1871
    Abstract
    In recent years the theory and application of thick-tailed distributions has received considerable attention in literature, especially in economic framework. The stable distributions, Students-t distribution, and mixture of normals have been used to describe the behavior of stock price changes. The Pareto distribution has been used to model fire losses, incomes, etc. In this thesis, the estimation of the parameters of (i) stable distributions, (ii) Students-t distribution, (iii) mixture of normals, and (iv) Pareto distribution are investigated. Three methods of estimation, namely, (i) the c.f. method (Paulson et. al. (1975)), (ii) maximum likelihood method, and (iii) minimum Cramer-von Mises method are used to estimate parameters. A constrained estimation technique is developed to obtain better fits in the tail. The c.f. method is extended to the estimation of parameters of symmetric and asymmetric Cauchy and three parameter gamma.; Two insurance claim processes are investigated in the framework of stable laws and Pareto distribution. The stable law, Students-t and the mixture of normals are investigated in the framework of stock price changes.;
    Description
    May 1976; School of
    Department
    Dept. of;
    Publisher
    Rensselaer Polytechnic Institute, Troy, NY
    Relationships
    Rensselaer Theses and Dissertations Online Collection;
    Access
    Restricted to current Rensselaer faculty, staff and students. Access inquiries may be directed to the Rensselaer Libraries.;
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