gatingsim: Simulated artificial data with covariates in the gating...

In senhu/mvClaim: Multivariate general insurance claims modelling

Description

An artificial data set containing the bivariate response y1, y2, three covariates w1, w2, w3, and the true label.

Usage

gatingsim

Format

A data frame with 500 rows and 6 variables:

y1,y2

The bivariate response variable.

w1,w2,w3

Three covariates.

label

Their true labels.

Details

This data set of size 500 is artificially generated as following: first w1, w2, and w3 are simulated from Normal(0, 0.3). The true number of component is G = 2. The gating is simulated from a logistic regression where the regression coeffcients are

logit(p) = 1 + 2 w1 + 2 w2 + 3 w3 ,

based on which a binomial simulation is used. The two components were simulated from two bivariate gamma distributions: for component 1:

y ~ BG(α1 = 0.8, α2 = 7.9, α3 = 5, β = 1.9) ,

for component 2:

y ~ BG(α1 = 2.6, α2 = 2, α3 = 0.5, β = 1) .

The simulated data set consists of 205 observations from component 1 and 295 observations from component 2.

Source

Hu, S., Murphy, T. B. and O'Hagan, A. (2019) Bivariate Gamma Mixture of Experts Models for Joint Claims Modeling. To appear.

senhu/mvClaim documentation built on Jan. 29, 2022, 3:18 p.m.