On the computation of multivariate scenario sets for the skew-\(t\) and generalized hyperbolic families

DOI10.1016/j.csda.2014.06.024zbMath1466.62077arXiv1402.0686OpenAlexW2151118170WikidataQ61925595 ScholiaQ61925595MaRDI QIDQ1659114

Emanuele Giorgi, Alexander J. McNeil

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.0686

zbMATH Keywords

skew-\(t\) distributionangular symmetrygeneralized hyperbolic distributionhalf-space depthexpectile depthmultivariate scenario sets

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Transformation mixture modeling for skewed data groups with heavy tails and scatter ⋮ Expectile depth: theory and computation for bivariate datasets

Uses Software

• sn
• QRM

Cites Work

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