Search Results - subject:"Skew t distribution"

Analysis of short-term forecasting for flight arrival times

Kim, Myung Suk - In: Journal of air transport management 52 (2016), pp. 35-41

Persistent link: https://www.econbiz.de/10011602618

A note on the direction maximizing skewness in multivariate skew-t vectors

Arevalillo, Jorge M.; Navarro, Hilario - In: Statistics & Probability Letters 96 (2015) C, pp. 328-332

multivariate skew-t distribution. The result relies on the well-known representation of the multivariate skew-t distribution as a …

Persistent link: https://www.econbiz.de/10011115930

Are the log-returns of Italian open-end mutual funds normally distributed : a risk assessment perspective

Bianchi, Michele Leonardo - In: The journal of asset management 16 (2015) 7, pp. 437-449

Persistent link: https://www.econbiz.de/10011455704

Accounting and governance risk forecasting in the health care industry

Kabašinskas, Audrius; Vaičiulytė, Ingrida; … - In: Economic research 28 (2015) 1, pp. 487-501

Persistent link: https://www.econbiz.de/10012220752

Convergence rate to a lower tail dependence coefficient of a skew-t distribution

Fung, Thomas; Seneta, Eugene - In: Journal of Multivariate Analysis 128 (2014) C, pp. 62-72

We examine the rate of decay to the limit of the tail dependence coefficient of a bivariate skew-t distribution. This … univariate quantile function for such a skew-t distribution is a central issue. Our results generalise those for the bivariate …

Persistent link: https://www.econbiz.de/10010776638

A generalized skew two-piece skew-elliptical distribution

Salehi, Mahdi; Jamalizadeh, Ahad; Doostparast, Mahdi - In: Statistical Papers 55 (2014) 2, pp. 409-429

We present a new generalized family of skew two-piece skew-elliptical (GSTPSE) models and derive some its statistical properties. It is shown that the new family of distribution may be written as a mixture of generalized skew elliptical distributions. Also, a new representation theorem for a...

Persistent link: https://www.econbiz.de/10010794865

Mixtures of skewed Kalman filters

Kim, Hyoung-Moon; Ryu, Duchwan; Mallick, Bani K.; … - In: Journal of Multivariate Analysis 123 (2014) C, pp. 228-251

Normal state-space models are prevalent, but to increase the applicability of the Kalman filter, we propose mixtures of skewed, and extended skewed, Kalman filters. To do so, the closed skew-normal distribution is extended to a scale mixture class of closed skew-normal distributions. Some basic...

Persistent link: https://www.econbiz.de/10010718991

Parsimonious skew mixture models for model-based clustering and classification

Vrbik, Irene; McNicholas, Paul D. - In: Computational Statistics & Data Analysis 71 (2014) C, pp. 196-210

Robust mixture modeling approaches using skewed distributions have recently been explored to accommodate asymmetric data. Parsimonious skew-t and skew-normal analogues of the GPCM family that employ an eigenvalue decomposition of a scale matrix are introduced. The methods are compared to...

Persistent link: https://www.econbiz.de/10010719663

Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions

Liu, Wei-hn - In: Applied economics 46 (2014) 10/12, pp. 1420-1435

Persistent link: https://www.econbiz.de/10010399261

Robust Inferences from a Before-and-After Study with Multiple Unaffected Control Groups

Wang, Pengyuan; Traskin, Mikhail; Small, Dylan S. - In: Journal of Causal Inference 1 (2013) 2, pp. 209-234

distribution family to model group time effects, and consider a range of plausible skew- t distributions. Based on the skew- t … normality assumption, and there are not enough control groups to check the assumption. We propose to use a flexible skew- t … distribution assumption, we propose a robust- t method to guarantee nominal significance level under a wide range of skew- t …

Persistent link: https://www.econbiz.de/10014610790