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

DOI10.1080/03610926.2013.818698MaRDI QIDQ2807655zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• scientific article; zbMATH DE number 1023682 (Why is no real title available?)
• scientific article; zbMATH DE number 3105197 (Why is no real title available?)
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• Tailoring the Gaussian law for excess kurtosis and skewness by Hermite polynomials

Cited in

(6)

• 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
• The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns
• 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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