Gram-Charlier-like expansions of the convoluted hyperbolic-secant density
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convoluted hyperbolic-secant distributionGram-Charlier-like expansionkurtosisorthogonal polynomialsskewness
Statistics of extreme values; tail inference (62G32) Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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Cites work
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Cited in
(9)- Gram-Charlier-like expansions of power-raised hyperbolic secant laws
- Kurtosis analysis in GARCH models with Gram-Charlier-like innovations
- Generalized hyperbolic secant distributions. With applications to finance
- Gram-Charlier densities: maximum likelihood versus the method of moments
- Gram-Charlier densities: a multivariate approach
- Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lรฉvy models
- Tailoring the Gaussian law for excess kurtosis and skewness by Hermite polynomials
- Gram-Charlier densities.
- The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns
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