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  • Search: subject:"Lognormal kernel"
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Year of publication
Subject
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ACD model 1 Birnbaum-Saunders kernel 1 Durations 1 High frequency 1 Lognormal kernel 1 data transformation 1 heavy-tail 1 income distribution 1 lognormal kernel 1 nonparametric density estimation 1
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Online availability
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Free 2
Type of publication
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Article 1 Book / Working Paper 1
Language
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English 1 Undetermined 1
Author
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Charpentier, Arthur 1 Flachaire, Emmanuel 1 Jin, Xiaodong 1 Kawczak, Janusz 1
Published in...
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AMSE Working Papers 1 Annals of Economics and Finance 1
Source
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RePEc 2
Showing 1 - 2 of 2
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Log-Transform Kernel Density Estimation of Income Distribution
Charpentier, Arthur; Flachaire, Emmanuel - 2015
Standard kernel density estimation methods are very often used in practice to estimate density function. It works well in numerous cases. However, it is known not to work so well with skewed, multimodal and heavy-tailed distributions. Such features are usual with income distributions, defined...
Persistent link: https://www.econbiz.de/10011167289
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Birnbaum-Saunders and Lognormal Kernel Estimators for Modelling Durations in High Frequency Financial Data
Jin, Xiaodong; Kawczak, Janusz - In: Annals of Economics and Finance 4 (2003) 1, pp. 103-124
In this article we extend the class of non-negative, asymmetric kernel density estimators and propose Birnbaum-Saunders (BS) and lognormal (LN) kernel density functions. The density functions have bounded support on [0,1). Both BS and LN kernel estimators are free of boundary bias, non-negative,...
Persistent link: https://www.econbiz.de/10009144548
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