Lambert \(W\) random variables -- a new family of generalized skewed distributions with applications to risk estimation

DOI10.1214/11-AOAS457zbMath1228.62016arXiv0912.4554MaRDI QIDQ652384

Georg M. Goerg

Publication date: 14 December 2011

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.4554

zbMATH Keywords

GARCHlatent variablesskewnessvalue at riskfamily of skewed distributionsLambert \(W\)stylized facts of asset returnstransformation of random variables

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Point estimation (62F10) Characterization and structure theory of statistical distributions (62E10) Estimation in survival analysis and censored data (62N02)

Related Items (14)

Bayesian modelling of skewness and kurtosis with two-piece scale and shape distributions ⋮ A multivariate skew-normal-Tukey-\(h\) distribution ⋮ EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE ⋮ Mathematical descriptions of indeterminate growth ⋮ All the trinomial roots, their powers and logarithms from the Lambert series, Bell polynomials and Fox-Wright function: illustration for genome multiplicity in survival of irradiated cells ⋮ Analysis of survival data by a Weibull-generalized Poisson distribution ⋮ Discussion ⋮ Letter to the editor ⋮ An R package for generating covariance matrices for maximum-entropy sampling from precipitation chemistry data ⋮ Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach ⋮ Acknowledgment of priority: Usage of the Lambert \(W\) function in statistics ⋮ LambertW ⋮ Logarithmic Lambert \(W \times \mathcal{F}\) random variables for the family of chi-squared distributions and their applications ⋮ Ordered quantile normalization: a semiparametric transformation built for the cross-validation era

Uses Software

• R
• CRAN

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