Minimum Norm Estimation Under Parameter Constraints with an Application to Insurance
Authors:
J
rgen Kleffe a;
Ragnar Norberg a
rgen Kleffe a;
Ragnar Norberg a
| Affiliation: | a Freie Universit t Berlin and University of Copenhagen, |
DOI:
10.1080/02331889808802637
Publication Frequency:
6 issues per year
Subjects:
Mathematical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
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(English)
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Abstract
A Minimum Norm Quadratic Estimator is developed for situations where some fixed effects and variance components coincide. The study is motivated by a semiparametric latent variable model frequently encountered in insurance, where a Poisson assumption induces identity between the mean and the within-unit variance. The method is applied to authentic group life insurance data, and its performance is also illustrated by simulations.
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| Keywords: Variance components; empirical Bayes; linear models |
| Mathematical Subject Classification: 62C12; 62J10; 62P05 |
| view references (4) |

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