A compound beta distribution with applications in finance

DOI10.1007/s10260-006-0017-5zbMath1157.62325OpenAlexW2074823019MaRDI QIDQ1001744

Arjun K. Gupta, Saralees Nadarajah

Publication date: 24 February 2009

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-006-0017-5

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15) Characterization and structure theory of statistical distributions (62E10) Statistical methods; economic indices and measures (91B82)

Uses Software

• R

Cites Work

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• A general methodology for determining distributional forms with applications in reliability
• Computationally convenient distributional assumptions for common-value auctions
• A modular system of algorithms for unconstrained minimization
• Statistical Size Distributions in Economics and Actuarial Sciences
• Model selection: some generalized distributions

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