IDEAS home Printed from https://ideas.repec.org/a/eee/matcom/v230y2025icp193-206.html
   My bibliography  Save this article

A parsimonious dynamic mixture for heavy-tailed distributions

Author

Listed:
  • Bee, Marco

Abstract

Dynamic mixture distributions are convenient models for highly skewed and heavy-tailed data. However, estimation has proved to be challenging and computationally expensive. To address this issue, we develop a more parsimonious model, based on a one-parameter weight function given by the exponential cumulative distribution function. Parameter estimation is carried out via maximum likelihood, approximate maximum likelihood and noisy cross-entropy. Simulation experiments and real-data analyses suggest that approximate maximum likelihood is the best method in terms of RMSE, albeit at a high computational cost. With respect to the version of the dynamic mixture with weight equal to the two-parameter Cauchy cumulative distribution function, the reduced flexibility of the present model is more than compensated by better statistical and computational properties.

Suggested Citation

  • Bee, Marco, 2025. "A parsimonious dynamic mixture for heavy-tailed distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 230(C), pages 193-206.
  • Handle: RePEc:eee:matcom:v:230:y:2025:i:c:p:193-206
    DOI: 10.1016/j.matcom.2024.11.011
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S037847542400452X
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.matcom.2024.11.011?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:matcom:v:230:y:2025:i:c:p:193-206. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.