Computing the exact distribution of a linear combination of generalized logistic random variables and its applications

DOI10.1080/00949655.2021.1982942MaRDI QIDQ3390602zbMATH OpenOpenAlexFDO

Authors B. V. Popović, Andjela Mijanović, Viktor Witkovský

Publication date 24 March 2022

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2021.1982942

zbMATH Keywords

numerical comparisonFox \(H\)-functionapplication in finance

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 3849611 (Why is no real title available?)
• scientific article; zbMATH DE number 53363 (Why is no real title available?)
• scientific article; zbMATH DE number 2063761 (Why is no real title available?)
• A generalized logistic distribution
• Computing the distribution of a linear combination of inverted gamma variables.
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• Estimating the distribution of a stochastic sum of IID random variables
• Exact distribution of the product and the quotient of two stable Lévy random variables
• Finite form representations for Meijer \(G\) and Fox \(H\) functions. Applied to multivariate likelihood ratio tests using Mathematica, MAXIMA and R
• Inverting analytic characteristic functions and financial applications
• Logarithmic Lambert \(W \times \mathcal{F}\) random variables for the family of chi-squared distributions and their applications
• Note on the inversion theorem
• Numerical inversion of a characteristic function
• On linear combination of generalized logistic random variables with an application to financial returns
• On the exact computation of the density and of the quantiles of linear combinations of \(t\) and \(F\) random variables
• The Fourier-series method for inverting transforms of probability distributions
• The H-Function

Cited in

(6)

• scientific article; zbMATH DE number 5117079 (Why is no real title available?)
• On exact distribution for multivariate weighted distributions and classification
• Likelihood ratio tests for elaborate covariance structures and for MANOVA models with elaborate covariance structures -- a review
• Computing the joint distribution of general linear combinations of spacings or exponential variates
• On linear combination of generalized logistic random variables with an application to financial returns
• The Cummulants and an Exact Expression of Generalized Logistic Distribution

Describes a project that uses

Uses Software

• CharFunTool
• GitHub
• CASdatasets
• R
• Mathematica

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