Generalized Tukey-type distributions with application to financial and teletraffic data

DOI10.1007/S00362-007-0114-ZzbMATH Open1247.62038OpenAlexW1965965979MaRDI QIDQ451364FDOQ451364

Authors: Matthias Fischer 

Publication date: 23 September 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/29593

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zbMATH Keywords

leptokurtosis\(H\)-transformationkurtosis transformation

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics (62P99)

Cites Work

• Title not available (Why is that?)
• Numerical maximum likelihood estimation for the \(g\)-and-\(k\) and generalized \(g\)-and-\(h\) distributions
• Title not available (Why is that?)
• Weighted quantile-based estimation for a class of transformation distributions.
• Tukey-Type Distributions in the Context of Financial Data
• Kurtosis modelling by means of the \(J\)-transformation
• Power kurtosis transformations: definition, properties and ordering

Cited In (13)

• Tukey-Type Distributions in the Context of Financial Data
• Methods for generating families of univariate continuous distributions in the recent decades
• Likelihood-free Bayesian estimation of multivariate quantile distributions
• Title not available (Why is that?)
• A generalized boxplot for skewed and heavy-tailed distributions
• Kurtosis modelling by means of the \(J\)-transformation
• Power kurtosis transformations: definition, properties and ordering
• Linking Tukey's legacy to financial risk measurement
• Measurement of skewness and kurtosis for the generalized tukey lambda distributions
• The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns
• Multiple imputation using multivariate \(gh\) transformations
• Parameter estimation of Tukey-type distributions: a comparative analysis
• \(gh\)-transformation of symmetrical distributions

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