Generalized Tukey-type distributions with application to financial and teletraffic data

DOI10.1007/S00362-007-0114-ZzbMath1247.62038OpenAlexW1965965979MaRDI QIDQ451364

Matthias Fischer

Publication date: 23 September 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/29593

zbMATH Keywords

leptokurtosis\(H\)-transformationkurtosis transformation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15) Applications of statistics (62P99)

Related Items (5)

Likelihood-free Bayesian estimation of multivariate quantile distributions ⋮ Parameter estimation of Tukey-type distributions: A comparative analysis ⋮ The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns ⋮ Multiple imputation using multivariateghtransformations ⋮ Methods for generating families of univariate continuous distributions in the recent decades

Cites Work

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• Numerical maximum likelihood estimation for the \(g\)-and-\(k\) and generalized \(g\)-and-\(h\) distributions
• Kurtosis modelling by means of the \(J\)-transformation
• Power kurtosis transformations: definition, properties and ordering
• Weighted quantile-based estimation for a class of transformation distributions.
• Tukey-Type Distributions in the Context of Financial Data

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