Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/29609 
Year of Publication: 
2003
Series/Report no.: 
Diskussionspapier No. 53/2003
Publisher: 
Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie, Nürnberg
Abstract: 
Leptokurtic distributions can be generated by applying certain non-linear transformations to a standard normal random variable. Within this work we derive general conditions for these transformations which guarantee that the generated distributions are ordered with respect to the partial ordering of van Zwet for symmetric distributions and the partial ordering of MacGillivray for arbitrary distributions. In addition, we propose a general power transformation which nests the H-, J- and K-transformations which have already been proposed in the literature. Within this class of power transformations the above mentioned condition can be easily verified and the power can be interpreted as parameter of leptokurtosis.
Subjects: 
Power kurtosis transformation
leptokurtosis
kurtosis ordering
Document Type: 
Working Paper

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