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Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) >
Lehrstuhl für Statistik und Ökonometrie, Universität Erlangen-Nürnberg >
Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/29570
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Fischer, Matthias J. | | en_US |
| dc.date.accessioned | | 2009-12-02 | | en_US |
| dc.date.accessioned | | 2010-01-13T14:06:14Z | | - |
| dc.date.available | | 2010-01-13T14:06:14Z | | - |
| dc.date.issued | | 2006 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/29570 | | - |
| dc.description.abstract | | One possibility to construct heavy tail distributions is to directly manipulate a standard Gaussian random variable by means of transformations which satisfy certain conditions. This approach dates back to Tukey (1960) who introduces the popular H-transformation. Alternatively, the K-transformation of MacGillivray & Cannon (1997) or the J-transformation of Fischer & Klein (2004) may be used. Recently, Klein & Fischer (2006) proposed a very general power kurtosis transformation which includes the above-mentioned transformations as special cases. Unfortunately, their transformation requires an infinite number of unknown parameters to be estimated. In contrast, we introduce a very simple method to construct êexible kurtosis transformations. In particular, manageable superstructures are suggested in order to statistically discriminate between H-, J-and K-distributions (associated to H-, J- and K-transformations). | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und empirische Wirtschaftsforschung Nürnberg | | en_US |
| dc.relation.ispartofseries | | Diskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 73/2006 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Generalized kurtosis transformation | | en_US |
| dc.subject.keyword | | H-transformation | | en_US |
| dc.title | | A note on the construction of generalized Tukey-type transformations | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 614054869 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:faucse:732006 | | - |
| Appears in Collections: | | Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg
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