A New Heavy-Tailed Exponential Distribution: Inference, Regression Model and Applications

A new weighted exponentiated-exponential distribution is proposed to model financial data. It has heavy-tailed behavior which is suitable for data with right tails. Some actuarial measures for the new model are determined, and simulations are reported. Its parameters are estimated using nine approac...

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Bibliographic Details
Published in:Pakistan journal of statistics and operation research 2023-09, p.395-411
Main Authors: Afify, Ahmed Z., Pescim, Rodrigo R., Cordeiro, Gauss M., Mahran, Hisham A.
Format: Article
Language:English
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Summary:A new weighted exponentiated-exponential distribution is proposed to model financial data. It has heavy-tailed behavior which is suitable for data with right tails. Some actuarial measures for the new model are determined, and simulations are reported. Its parameters are estimated using nine approaches including a Bayesian method. A new Log-WEx-Exponential regression model is defined for right censored data. The importance of the new models is proved by applications to financial data.
ISSN:1816-2711
2220-5810
DOI:10.18187/pjsor.v19i3.4230