Robust Estimation, Nonnormalities, and Generalized Exponential Distributions

DOI10.2307/2290721MaRDI QIDQ4694193zbMATH OpenOpenAlexFDO

Authors J. N. Lye, Vance Martin

Publication date 17 August 1993

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2290721

Mathematics Subject Classification ID

Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

Cited in

(22)

• Analysis of the conditional stock-return distribution under incomplete specification.
• On extremes of two-dimensional Student-t distribution of the Marshall-Olkin type
• Family of multivariate generalized \(t\) distributions
• Bayesian alignment of similarity shapes
• Information-Theoretic Distribution Test with Application to Normality
• A flexible parametric density estimator for multimodal distributions of test statistics
• NON-LINEAR TIME SERIES MODELLING AND DISTRIBUTIONAL FLEXIBILITY
• Robust Location and Scale Estimation Based on the Univariate Generalizedt(GT) Distribution
• An alternative multivariate skew Laplace distribution: properties and estimation
• One-step \(M\)-estimators: Jones and Faddy's skewed \(t\)-distribution
• Joint tests of contagion with applications
• The skew generalized t (SGT) distribution as the scale mixture of a skew exponential power distribution and its applications in robust estimation
• A Generalization of the Univariate Slash by a Scale-Mixtured Exponential Power Distribution
• A multifactor transformed diffusion model with applications to VIX and VIX futures
• Variance-mean mixture of multivariate normal distribution and weighted gamma distribution: properties and applications
• Measurement error in linear regression models with fat tails and skewed errors
• Co-movements, option pricing and risk management: an application to WTI versus Brent spread options
• An alternative stochastic model for linear portfolios
• On a novel skewed generalized t distribution: Properties, estimations, and its applications
• Maximum likelihood parameter estimation for the multivariate skew-slash distribution
• Robust artificial neural networks for pricing of European options
• Financial crashes as endogenous jumps: estimation, testing and forecasting

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