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/10419/29616
  
Title:Generierung schiefer Verteilungen mittels Skalenparametersplittung PDF Logo
Authors:Grottke, Martin
Issue Date:1999
Series/Report no.:Diskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 30/1999
Abstract:There 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
Document Type:Working Paper
Appears in Collections:Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg

Files in This Item:
File Description SizeFormat
613120957.pdf139.15 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/29616

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