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https://hdl.handle.net/10419/29570
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DC Field | Value | Language |
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dc.contributor.author | Fischer, Matthias J. | en |
dc.date.accessioned | 2009-12-02 | - |
dc.date.accessioned | 2010-01-13T14:06:14Z | - |
dc.date.available | 2010-01-13T14:06:14Z | - |
dc.date.issued | 2006 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aFriedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie |cNürnberg | en |
dc.relation.ispartofseries | |aDiskussionspapier |x73/2006 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Generalized kurtosis transformation | en |
dc.subject.keyword | H-transformation | en |
dc.title | A note on the construction of generalized Tukey-type transformations | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 614054869 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:faucse:732006 | en |
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