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  • Search: subject:"Variable transformation"
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Year of publication
Subject
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variable transformation 5 kurtosis 4 normal transformation 2 skewness 2 transformed Gaussian 2 Nonlinear regression 1 cross-validation 1 model selection 1 return data 1 return data. 1 tail elongation 1 tail elongation. 1
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Online availability
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Free 5
Type of publication
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Book / Working Paper 5
Type of publication (narrower categories)
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Working Paper 2
Language
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English 4 Undetermined 1
Author
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Fischer, Matthias J. 4 Klein, Ingo 4 Horn, Armin 2 BUNKE, Olaf 1 DROGE, Bernd 1 POLZEHL, Jörg 1
Institution
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Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 2 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1
Published in...
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Discussion Papers / Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 2 Diskussionspapier 2 CORE Discussion Papers 1
Source
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RePEc 3 EconStor 2
Showing 1 - 5 of 5
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Tukey-type distributions in the context of financial data
Fischer, Matthias J.; Horn, Armin; Klein, Ingo - 2003
Using the Gaussian distribution as statistical model for data sets is widely spread, especially in practice. However, departure from normality seems to be more the rule than the exception. The H-distributions, introduced by Tukey (1960, 1977), are generated by a single transformation...
Persistent link: https://www.econbiz.de/10010299782
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Kurtosis modelling by means of the J-transformation
Fischer, Matthias J.; Klein, Ingo - 2003
The H-family of distributions or H-distributions, introduced by Tukey (1960, 1977), are generated by a single transformation of the standard normal distribution and allow for leptokurtosis represented by the parameter h. Alternatively, Haynes, MacGillivray and Mengersen (1997) generated...
Persistent link: https://www.econbiz.de/10010299785
Saved in:
Cover Image
Kurtosis modelling by means of the J-transformation
Fischer, Matthias J.; Klein, Ingo - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2003
The H-family of distributions or H-distributions, introduced by Tukey (1960, 1977), are generated by a single transformation of the standard normal distribution and allow for leptokurtosis represented by the parameter h. Alternatively, Haynes, MacGillivray and Mengersen (1997) generated...
Persistent link: https://www.econbiz.de/10008543755
Saved in:
Cover Image
Tukey-type distributions in the context of financial data
Fischer, Matthias J.; Horn, Armin; Klein, Ingo - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2003
Using the Gaussian distribution as statistical model for data sets is widely spread, especially in practice. However, departure from normality seems to be more the rule than the exception. The H-distributions, introduced by Tukey (1960, 1977), are generated by a single transformation...
Persistent link: https://www.econbiz.de/10008543760
Saved in:
Cover Image
Model Selection and Variable Transformations in Nonlinear Regression
BUNKE, Olaf; DROGE, Bernd; POLZEHL, Jörg - Center for Operations Research and Econometrics (CORE), … - 1993
The results of analyzing experimental data using a parametric model may heavily depend on the chosen model. In this paper we propose procedures for the adequate selection of nonlinear regression models if the intended use of the model is among the following: prediction of future values of the...
Persistent link: https://www.econbiz.de/10005008409
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