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

DOI10.1007/S00362-007-0114-ZMaRDI QIDQ451364zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Tukey-Type Distributions in the Context of Financial Data
• Kurtosis modelling by means of the \(J\)-transformation
• \(gh\)-transformation of symmetrical distributions
• scientific article; zbMATH DE number 3940404
• Some properties of the tukey g and h family of distributions

Cites work

• scientific article; zbMATH DE number 3637090 (Why is no real title available?)
• scientific article; zbMATH DE number 3204183 (Why is no real title available?)
• Kurtosis modelling by means of the \(J\)-transformation
• Numerical maximum likelihood estimation for the \(g\)-and-\(k\) and generalized \(g\)-and-\(h\) distributions
• Power kurtosis transformations: definition, properties and ordering
• Tukey-Type Distributions in the Context of Financial Data
• Weighted quantile-based estimation for a class of transformation distributions.

Cited in

(13)

• A generalized boxplot for skewed and heavy-tailed distributions
• Parameter estimation of Tukey-type distributions: a comparative analysis
• scientific article; zbMATH DE number 3940404 (Why is no real title available?)
• Linking Tukey's legacy to financial risk measurement
• Multiple imputation using multivariate \(gh\) transformations
• Kurtosis modelling by means of the \(J\)-transformation
• The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns
• \(gh\)-transformation of symmetrical distributions
• Tukey-Type Distributions in the Context of Financial Data
• Likelihood-free Bayesian estimation of multivariate quantile distributions
• Measurement of skewness and kurtosis for the generalized tukey lambda distributions
• Power kurtosis transformations: definition, properties and ordering
• Methods for generating families of univariate continuous distributions in the recent decades

This page was built for publication: Generalized Tukey-type distributions with application to financial and teletraffic data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q451364)