Gram-Charlier-like expansions of the convoluted hyperbolic-secant density

DOI10.1007/S42519-019-0081-4zbMATH Open1437.62338OpenAlexW2999096616MaRDI QIDQ2301231FDOQ2301231

Authors: Federica Nicolussi, Maria Grazia Zoia 

Publication date: 24 February 2020

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42519-019-0081-4

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• Gram-Charlier densities: a multivariate approach
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• Gram-Charlier-like expansions of power-raised hyperbolic secant laws
• Expansions for multivariate densities

zbMATH Keywords

kurtosisskewnessorthogonal polynomialsconvoluted hyperbolic-secant distributionGram-Charlier-like expansion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited In (9)

• Kurtosis analysis in GARCH models with Gram-Charlier-like innovations
• Gram-Charlier densities: a multivariate approach
• Generalized hyperbolic secant distributions. With applications to finance
• Gram-Charlier-like expansions of power-raised hyperbolic secant laws
• Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
• Gram-Charlier densities.
• The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns
• Gram-Charlier densities: maximum likelihood versus the method of moments
• Tailoring the Gaussian law for excess kurtosis and skewness by Hermite polynomials

Uses Software

• np
• reldist

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