The PDF and CF of Pearson type IV distributions and the ML estimation of the parameters

DOI10.1016/S0167-7152(98)00265-XMaRDI QIDQ1292779zbMATH OpenFDO

Authors Yuichi Nagahara

Publication date 13 February 2000

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

risk managementheavy-taileddouble exponential formulaPearson systemskewedStock returns

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 699423 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• scientific article; zbMATH DE number 3089518 (Why is no real title available?)
• AN APPROXIMATION TO THE DISTRIBUTION OF NON-CENTRAL t
• Approximation of Pearson Type IV Tail Probabilities
• Bounds for the pearson type IV tail probabilities
• Double exponential formulas for numerical integration
• On secant approximations to cumulative distribution functions
• Some problems arising in approximating to probability distributions, using moments
• The Mills ratio and the probability integral for a Pearson Type IV distribution

Cited in

(14)

• A method of simulating multivariate nonnormal distributions by the Pearson distribution system and estimation
• A method of calculating the downside risk by multivariate nonnormal distributions
• Computational Examples of a New Method for Distribution Selection in the Pearson System
• A CLOSED‐FORM EXPRESSION FOR THE PEARSON TYPE IV DISTRIBUTION FUNCTION
• A Novel Asymmetric Distribution with Power Tails
• The metalog distributions
• Statistical analysis of video frame size distribution originating from scalable video codec (SVC)
• On the characteristic function of Pearson type IV distributions
• GS-distributions: a new family of distributions for continuous unimodal variables
• Comparison of the alternative parameter estimators of Pearson distributions by robustness criteria
• Non‐Gaussian Filter and Smoother Based on the Pearson Distribution System
• Modeling heavy-tailed, skewed and peaked uncertainty phenomena with bounded support
• Nearly Gaussian distributions and application
• Fat tails and asymmetry in financial volatility models.

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