Orthogonal polynomials for tailoring density functions to excess kurtosis, asymmetry, and dependence

DOI10.1080/03610926.2013.818698zbMATH Open1381.62034OpenAlexW2094293852MaRDI QIDQ2807655FDOQ2807655

Authors: Mario Faliva, Valerio Potì, Maria Grazia Zoia 

Publication date: 25 May 2016

Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.818698

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zbMATH Keywords

asymmetrykurtosisbetween-squares dependenceorthogonal polynomials vs. moments

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45)

Cites Work

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• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
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• Title not available (Why is that?)
• Tailoring the Gaussian law for excess kurtosis and skewness by Hermite polynomials

Cited In (5)

• Kurtosis analysis in GARCH models with Gram-Charlier-like innovations
• Gram-Charlier-like expansions of power-raised hyperbolic secant laws
• Gram-Charlier-like expansions of the convoluted hyperbolic-secant density
• Tailoring the Gaussian law for excess kurtosis and skewness by Hermite polynomials
• Leptokurtic moment-parameterized elliptically contoured distributions with application to financial stock returns

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