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Modeling right-skewed financial data streams: A likelihood inference based on the generalized Birnbaum–Saunders mixture model

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  • Naderi, Mehrdad
  • Hashemi, Farzane
  • Bekker, Andriette
  • Jamalizadeh, Ahad

Abstract

Finite mixture models have recently been considered for analyzing positive support economical data streams with non-normal features. In this paper, a new mixture model based on the novel class of generalized Birnbaum–Saunders distributions is proposed to enhance strength and flexibility in modeling heterogeneous lifetime data. Some characteristics and properties of this mixture model are outlined. By presenting a convenient hierarchical representation, a mathematically elegant and computationally tractable EM-type algorithm is adopted for computing maximum likelihood estimates. Theoretical formulae of well-known risk measures referring to the class of generalized Birnbaum–Saunders distributions are derived. Finally, the utility of the postulated methodology is illustrated with some real-world data examples.

Suggested Citation

  • Naderi, Mehrdad & Hashemi, Farzane & Bekker, Andriette & Jamalizadeh, Ahad, 2020. "Modeling right-skewed financial data streams: A likelihood inference based on the generalized Birnbaum–Saunders mixture model," Applied Mathematics and Computation, Elsevier, vol. 376(C).
    • Handle: RePEc:eee:apmaco:v:376:y:2020:i:c:s0096300320300783
    DOI: 10.1016/j.amc.2020.125109
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    1. Okhli, Kheirolah & Jabbari Nooghabi, Mehdi, 2021. "On the contaminated exponential distribution: A theoretical Bayesian approach for modeling positive-valued insurance claim data with outliers," Applied Mathematics and Computation, Elsevier, vol. 392(C).

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