Arbeitspapier
Closed form solution of correlation in doubly truncated or censored sample of bivariate log-normal distribution
In this study we present a closed form solution to the moments and, in particular, correlation of two log-normally distributed random variables, where the underlying log-normal distribution is potentially truncated and censored at both tails. Throughout the analysis we further assume that the parameters of the unconstrained bivariate log-normal distribution are known. The closed form solution also covers the cases where one tail is truncated and the other is censored.
- ISBN
-
978-952-6699-31-8
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Finland Research Discussion Papers ; No. 17/2013
- Klassifikation
-
Wirtschaft
Methodological Issues: General
Specific Distributions; Specific Statistics
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
Bivariate log-normal distribution
Pearson's product-moment correlation
Truncated
Censored
Tail correlation
Solvency II
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Vilmunen, Jouko
Palmroos, Peter
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Vilmunen, Jouko
- Palmroos, Peter
- Bank of Finland
Entstanden
- 2013
Ähnliche Objekte (12)
Moments of Progressive Type-II Right Censored Order Statistics from a General Class of Doubly Truncated Continuous Distributions
Analysis of doubly truncated data : an introduction
Local polynomial regression with truncated or censored response
Survival analysis : techniques for censored and truncated data
Survival analysis : techniques for censored and truncated data
The statistical analysis of truncated and censored data under serial dependence
Nonparametric rank based estimation of bivariate densities given censored data conditional on marginal probabilities
ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATORS FROM TYPE II CENSORED SAMPLES FROM BIVARIATE DISTRIBUTIONS
Modeling lower-truncated and right-censored insurance claims with an extension of the MBBEFD class
A 3-Component Mixture of Exponential Distribution Assuming Doubly Censored Data: Properties and Bayesian Estimation
RELATIONS FOR MOMENTS OF PROGRESSIVELY TYPE-II RIGHT CENSORED ORDER STATISTICS FROM ERLANG-TRUNCATED EXPONENTIAL DISTRIBUTION
COMPARISON OF DIABETIC NEPHROPATHY ONSET TIME OF TWO GROUPS WITH LEFT TRUNCATED AND RIGHT CENSORED DATA
Moments of Progressive Type-II Right Censored Order Statistics from a General Class of Doubly Truncated Continuous Distributions
Analysis of doubly truncated data : an introduction
Local polynomial regression with truncated or censored response
Survival analysis : techniques for censored and truncated data
Survival analysis : techniques for censored and truncated data
The statistical analysis of truncated and censored data under serial dependence
Nonparametric rank based estimation of bivariate densities given censored data conditional on marginal probabilities
ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATORS FROM TYPE II CENSORED SAMPLES FROM BIVARIATE DISTRIBUTIONS
Modeling lower-truncated and right-censored insurance claims with an extension of the MBBEFD class
A 3-Component Mixture of Exponential Distribution Assuming Doubly Censored Data: Properties and Bayesian Estimation
RELATIONS FOR MOMENTS OF PROGRESSIVELY TYPE-II RIGHT CENSORED ORDER STATISTICS FROM ERLANG-TRUNCATED EXPONENTIAL DISTRIBUTION
COMPARISON OF DIABETIC NEPHROPATHY ONSET TIME OF TWO GROUPS WITH LEFT TRUNCATED AND RIGHT CENSORED DATA
Moments of Progressive Type-II Right Censored Order Statistics from a General Class of Doubly Truncated Continuous Distributions
Analysis of doubly truncated data : an introduction
Local polynomial regression with truncated or censored response
Survival analysis : techniques for censored and truncated data
Survival analysis : techniques for censored and truncated data
The statistical analysis of truncated and censored data under serial dependence
Nonparametric rank based estimation of bivariate densities given censored data conditional on marginal probabilities
ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATORS FROM TYPE II CENSORED SAMPLES FROM BIVARIATE DISTRIBUTIONS
Modeling lower-truncated and right-censored insurance claims with an extension of the MBBEFD class
A 3-Component Mixture of Exponential Distribution Assuming Doubly Censored Data: Properties and Bayesian Estimation
RELATIONS FOR MOMENTS OF PROGRESSIVELY TYPE-II RIGHT CENSORED ORDER STATISTICS FROM ERLANG-TRUNCATED EXPONENTIAL DISTRIBUTION