EconStor >
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/10419/29578
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorFischer, Matthias J.en_US
dc.date.accessioned2009-12-02en_US
dc.date.accessioned2010-01-13T14:06:19Z-
dc.date.available2010-01-13T14:06:19Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/29578-
dc.description.abstractLeptokurtic or platykurtic distributions can, for example, be generated by applying certain non-linear transformations to a Gaussian random variable. Within this work we focus on the class of so-called power transformations which are determined by their generator function. Examples are the H-transformation of Tukey (1960), the J-transformation of Fischer and Klein (2004) and the L-transformation which is derived from Johnson's inverse hyperbolic sine transformation. It is shown that generator functions themselves which meet certain requirements can be used to construct both probability densities and cumulative distribution functions. For the J-transformation, we recover the logistic distribution. Using the L-transformation, a new class of densities is derived, discussed and generalized.en_US
dc.language.isoengen_US
dc.publisherUniversität Erlangen-Nürnberg, Lehrstuhl für Statistik und empirische Wirtschaftsforschung Nürnbergen_US
dc.relation.ispartofseriesDiskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 75/2006en_US
dc.subject.ddc330en_US
dc.subject.keywordPower kurtosis transformationen_US
dc.subject.keywordleptokurtosisen_US
dc.subject.keyword(skew) L-distributionen_US
dc.titleThe L-distribution and skew generalizationsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn614055873en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:faucse:752006-
Appears in Collections:Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg

Files in This Item:
File Description SizeFormat
614055873.pdf165.46 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.