Generierung schiefer Verteilungen mittels Skalenparametersplittung
AbstractThere are several proposals of adding a skewness parameter into a symmetric distribution. Most of them are combined with a certain distribution. The following working paper will present an universal method of generating an asymmetric distribution. As an application this method is used to make the Generalized-t-distribution skewed - thus producing the Skewed-Generalized-t (SGT-), the SGT2- and the SGT3-distribution. These distributions include several well known distributions like the Normal-, Laplace-, t-, Cauchyand Box-Tiao-distribution. They also allow a higher leptokurtosis, what makes them suitable for the estimation of financial data --
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Bibliographic InfoPaper provided by Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Statistics and Econometrics in its series Discussion Papers with number 30/1999.
Date of creation: 1999
Date of revision:
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- Butler, Richard J, et al, 1990. "Robust and Partially Adaptive Estimation of Regression Models," The Review of Economics and Statistics, MIT Press, vol. 72(2), pages 321-27, May.
- Panayiotis Theodossiou, 1998. "Financial Data and the Skewed Generalized T Distribution," Management Science, INFORMS, vol. 44(12-Part-1), pages 1650-1661, December.
- McDonald, James B., 1989. "Partially adaptive estimation of ARMA time series models," International Journal of Forecasting, Elsevier, vol. 5(2), pages 217-230.
- Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Modelling of Fat Tails and Skewness," Discussion Paper 1996-58, Tilburg University, Center for Economic Research.
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