gh-transformierte symmetrische Verteilungen

Arbeitspapier

Tukey (1960) derived via the technique of transformation of variables starting from the normal distribution a family of skewed and leptokurtic distributions. Skewness and leptokurtosis are determined by two parametersg and h. Therefore, the family was called gh-distributions. We modify Tukeys proposal such that other symmetric distributions will be taken as starting point for the transformation of variables. We speak about a family gh transformed symmetrical distributions. Especially, we condiser the Laplace distribution and the t-distribution with a fixed number of degrees. The aim ist to show, what kind of distribution take place between a leptokurtic symmetric distribution and the parameter g and . Because of numerical problems with maximum likelihood. Hoaglins (1983) technique of estimation by quantiles it used. We demonstrate how the three families of gh-transformed symmetrical distributions work fpr real financial data sets that stem from a skewed and leptokurtic distribution.

Object Details

• Language: Deutsch

References and Relationships

• Bibliographic citation: Series: Diskussionspapier ; No. 36/2000

Classification and Topics

• Classification: Wirtschaft

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Klein, Ingo
• Event: Veröffentlichung
• (who): Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie
• (where): Nürnberg
• (when): 2000

Further information

• Handle: http://hdl.handle.net/10419/29597
• Last update: 10.03.2025, 11:41 AM CET