A contribution to multivariate L-moments: L-comoment matrices
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References listed on IDEAS
- Rubinstein, Mark E., 1973. "The Fundamental Theorem of Parameter-Preference Security Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(01), pages 61-69, January.
- Elamir, Elsayed A. H. & Seheult, Allan H., 2003. "Trimmed L-moments," Computational Statistics & Data Analysis, Elsevier, vol. 43(3), pages 299-314, July.
- Lerman, Robert I. & Yitzhaki, Shlomo, 1984. "A note on the calculation and interpretation of the Gini index," Economics Letters, Elsevier, vol. 15(3-4), pages 363-368.
- Robert F. Dittmar, 2002. "Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns," Journal of Finance, American Finance Association, vol. 57(1), pages 369-403, February.
- Schechtman, E. & Yitzhaki, S., 1999. "On the proper bounds of the Gini correlation," Economics Letters, Elsevier, vol. 63(2), pages 133-138, May.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Marcel Carcea & Robert Serfling, 2015. "A Gini Autocovariance Function for Time Series Modelling," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(6), pages 817-838, November.
- Mohan D. Pant & Todd C. Headrick, 2017. "Simulating Uniform- and Triangular- Based Double Power Method Distributions," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 6(1), pages 1-1.
- Asquith, William H., 2014. "Parameter estimation for the 4-parameter Asymmetric Exponential Power distribution by the method of L-moments using R," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 955-970.
- Qiang Zhang & Tianyao Qi & Vijay Singh & Yongqin Chen & Mingzhong Xiao, 2015. "Regional Frequency Analysis of Droughts in China: A Multivariate Perspective," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 29(6), pages 1767-1787, April.
- Shelef, Amit, 2016. "A Gini-based unit root test," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 763-772.
- repec:hal:journl:halshs-00336475 is not listed on IDEAS
More about this item
KeywordsL-moments Nonparametric Multivariate Coskewness Cokurtosis Correlation Financial risk analysis Regional frequency analysis;
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