This Thursday and Friday, a Colloqium on Insurance and Finance risks will take place in the University of Le Mans. I will be giving a talk on non- and semi-parametric inference for risk measures, inspired by recent work with Emmanuel Flachaire. Our first paper log-transform kernel density estimationof income distribution is online on http://papers.ssrn.com/id=2514882, and should appear soon. The second one is still in progress, codes are still running. I will upload the slides once the working paper is available…
Tag Archives: Flachaire
Log-transform kernel density estimation of income distribution
Our paper Log-transform kernel density estimationof income distribution, written with Emmanuel Flachaire is now available on http://papers.ssrn.com/id=2514882,
Standard kernel density estimation methods are very often used in practice to estimate density function. It works well in numerous cases. However, it is known not to work so well with skewed, multimodal and heavy-tailed distributions. Such features are usual with income distributions, defined over the positive support. We first show that a preliminary logarithmic transformation of the data, combined with standard kernel density estimation methods, can provide a much better fit of the overall density estimation. Then, we show that the fit of the bottom of the distribution may not be satisfactory, even if a better fit of the upper tail can be obtained in general.
Càdiz, Nonparametric Statistics
Emmanuel Flachaire will be presenting some joint work in Càdiz, Spain, tomorrow evening, at the second conference of the International Society of NonParametric Statistics. Jeff invited me a few months ago, to go there, but unfortunately, I’ve already been moving a lot recently. The talk will be based on the same work that I mentioned at the SSC annual conference (Canadian Statistical Society), in Toronto, at the end of May. His talk is on quantiles and inequality indices estimation from heavy-tailed distribution. As mentioned in my previous post, we will upload the slides (and the paper) in a close future.
So, Emmanuel will go there, and enjoy the beach (and the conference, the program is truly amazing).
Toronto, Statistical Conference
I will be in Toronto this week, for the SSC annual conference (Canadian Statistical Society), to present some recent work, with Emmanuel Flachaire. Because of some administrative duty last week, I am a bit late, so I won’t be able to upload the slides before the talk. Sorry about that…
More to come when I’ll be back in Montréal !
Talk on risk measures and inequality indices
This Monday, I will give a talk at Sherbrooke University, at the statistical seminar, on risk measures and inequality indices, based on some (recent) joint work, with Emmanuel Flachaire. I am still working on the slides, that will be uploaded, some day…