Properties and estimation of asymmetric exponential power distribution
From MaRDI portal
(Redirected from Publication:97355)
Recommendations
- A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
- Bayesian analysis of some models that use the asymmetric exponential power distribution
- A small sample comparison of maximum likelihood, moments and \(L\)-moments methods for the asymmetric exponential power distribution
- Maximum likelihood estimation of asymmetric double type II Pareto distributions
- The epsilon-skew exponential power distribution family
Cites work
- scientific article; zbMATH DE number 1614382 (Why is no real title available?)
- scientific article; zbMATH DE number 3814037 (Why is no real title available?)
- scientific article; zbMATH DE number 3980216 (Why is no real title available?)
- scientific article; zbMATH DE number 3560401 (Why is no real title available?)
- scientific article; zbMATH DE number 486467 (Why is no real title available?)
- scientific article; zbMATH DE number 3426633 (Why is no real title available?)
- scientific article; zbMATH DE number 3232102 (Why is no real title available?)
- scientific article; zbMATH DE number 3336465 (Why is no real title available?)
- A simple estimator for the characteristic exponent of the stable Paretian distribution
- ARCH modeling in finance. A review of the theory and empirical evidence
- Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
- Bayesian analysis of a three-component hierarchical design model
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Elements of financial risk management. With CD-ROM.
- Estimating the dimension of a model
- Inferential Aspects of the Skew Exponential Power Distribution
- Maximum likelihood estimation for the exponential power function parameters
- Modeling and Inference with v-Spherical Distributions
- Regression and time series model selection in small samples
- Robust Estimates of Location: Survey and Advances
- Robust estimators of the mode and skewness of continuous data.
- Stable Paretian models in finance
- Statistical inference for a general class of asymmetric distributions
- The Extended Skew-Exponential Power Distribution and Its Derivation
Cited in
(61)- Neyman's C(α) test for the shape parameter of the exponential power class
- On a transform for modeling skewness
- An alternative skew exponential power distribution formulation
- Loss-based approach to two-piece location-scale distributions with applications to dependent data
- Asymmetric exponential power Bayesian median autoregression with applications
- Visualizing Type II Error in Normality Tests
- Time-series models with an EGB2 conditional distribution
- Quantile regression based on the skewed exponential power distribution
- Longitudinal quantile-based regression models using multivariate asymmetric heavy-tailed distributions and leapfrog HMC algorithm
- A novel finite mixture model based on the generalized scale mixtures of asymmetric generalized normal distributions: properties, estimation methodology and applications
- A small sample comparison of maximum likelihood, moments and \(L\)-moments methods for the asymmetric exponential power distribution
- Graphical comparison of normality tests for unimodal distribution data
- Parameter estimation for the 4-parameter asymmetric exponential power distribution by the method of L-moments using R
- A robust regression methodology via M-estimation
- Mosaic normality test
- Characterizations of multinormality and corresponding tests of fit, including for GARCH models
- On entropy-based goodness-of-fit test for asymmetric Student-t and exponential power distributions
- Estimation methods for expected shortfall
- On the characteristic function for asymmetric exponential power distributions
- A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function
- Volatility modeling with a generalized t distribution
- Asymmetric competition, risk, and return distribution
- Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
- Goodness-of-fit graphical assessment for a broad family of unimodal distributions
- Fused \(L_{1/2}\) prior for large scale linear inverse problem with Gibbs bouncy particle sampler
- Bayesian analysis of some models that use the asymmetric exponential power distribution
- Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations
- Letter to the Editor: ‘On Quantile‐based Asymmetric Family of Distributions: Properties and Inference’
- AEP
- Letter to the editor: On the use of improper priors for the shape parameters of asymmetric exponential power models
- Skewed pivot-blend modeling with applications to semicontinuous outcomes
- In search of the perfect fit: interpretation, flexible modelling, and the existing generalisations of the normal distribution
- Bayesian modelling of skewness and kurtosis with two-piece scale and shape distributions
- EGARCH models with fat tails, skewness and leverage
- Optimal forecasting accuracy using Lp-norm combination
- On the non-existence of maximum likelihood estimates for the extended exponential power distribution and its generalizations
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- On the characteristic function for asymmetric Student \(t\) distributions
- Bayesian quantile regression using the skew exponential power distribution
- On the robustness properties for maximum likelihood estimators of parameters in exponential power and generalized T distributions*
- Fast inference for time-varying quantiles via flexible dynamic models with application to the characterization of atmospheric rivers
- NORTA for portfolio credit risk
- Inferences from asymmetric multivariate exponential power distribution
- A generalized class of skew distributions and associated robust quantile regression models
- The two-piece normal-Laplace distribution
- Maximum likelihood estimation of asymmetric double type II Pareto distributions
- Objective Bayesian analysis for exponential power regression models
- The location-scale mixture exponential power distribution: a Bayesian and maximum likelihood approach
- Bayesian reference analysis for exponential power regression models
- Tests for conditional ellipticity in multivariate GARCH models
- Model selection based on value-at-risk backtesting approach for GARCH-type models
- Virtual historical simulation for estimating the conditional VaR of large portfolios
- A Novel Asymmetric Distribution with Power Tails
- Inferential Aspects of the Skew Exponential Power Distribution
- Bayesian composite L^p-quantile regression
- Bayesian analysis of an item response model with an AEP-based link function
- An \texttt{R} package for value at risk and expected shortfall
- A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
- A revised generalized F-test for testing the equality of group means under non-normality caused by skewness
- Bayesian analysis of the censored regression model with an AEPD error term
- Skewed link-based regression models for misclassified binary data
This page was built for publication: Properties and estimation of asymmetric exponential power distribution
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q97355)
