Search Results - subject:"half-normal distribution"

A new two-component hybrid model for highly right-skewed data : estimation algorithm and application to finance and rainfall data

Osatohanmwen, Patrick - 2025

Persistent link: https://www.econbiz.de/10015372920

The "wrong skewness" problem : moment constrained maximum likelihood estimation of the stochastic frontier model

Zhao, Shirong; Parmeter, Christopher F. - In: Economics letters 221 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10014229929

An extension of the half-normal distribution

Olmos, Neveka; Varela, Héctor; Gómez, Héctor; … - In: Statistical Papers 53 (2012) 4, pp. 875-886

In this paper we introduce a new distribution, namely, the slashed half-normal distribution and it can be seen as an … extension of the half-normal distribution. It is shown that the resulting distribution has more kurtosis than the ordinary half-normal … distribution. Moments and some properties are derived for the new distribution. Moment estimators and maximum likelihood estimators …

Persistent link: https://www.econbiz.de/10010998639

The half-normal specification for the two-tier stochastic frontier model

Papadopoulos, Alecos - In: Journal of Productivity Analysis 43 (2015) 2, pp. 225-230

In the context of the two-tier stochastic frontier model, we present a new closed-form stochastic specification, the half-normal one. Expressions to calculate average and conditional measures of inefficiency are provided, for regression specifications in levels and in logs. Some results related...

Persistent link: https://www.econbiz.de/10011241951

The half-normal specification for the two-tier stochastic frontier model

Papadopoulos, Alecos - In: Journal of productivity analysis 43 (2015) 2, pp. 225-230

Persistent link: https://www.econbiz.de/10011380347

A non-Gaussian multivariate distribution with all lower-dimensional Gaussians and related families

Dutta, Subhajit; Genton, Marc G. - In: Journal of Multivariate Analysis 132 (2014) C, pp. 82-93

Several fascinating examples of non-Gaussian bivariate distributions which have marginal distribution functions to be Gaussian have been proposed in the literature. These examples often clarify several properties associated with the normal distribution. In this paper, we generalize this result...

Persistent link: https://www.econbiz.de/10010939520

A discrete version of the half-normal distribution and its generalization with applications

Gómez-Déniz, E.; Vázquez-Polo, F.; García-García, V. - In: Statistical Papers 55 (2014) 2, pp. 497-511

> </InlineEquation> leads us to the discrete half-normal distribution which is different from the discrete half-normal distribution …

Persistent link: https://www.econbiz.de/10010998648

An extension of the generalized half-normal distribution

Olmos, Neveka; Varela, Héctor; Bolfarine, Heleno; … - In: Statistical Papers 55 (2014) 4, pp. 967-981

In this paper we propose an extension of the generalized half-normal distribution studied in Cooray and Ananda (Commun … quotient of two random variables, the one in the numerator being a generalized half normal distribution and the one in the …>, respectively. The resulting distribution has greater kurtosis than the generalized half normal distribution. The density function …

Persistent link: https://www.econbiz.de/10010998651

Operational risk of option hedging

Mitra, Sovan - In: Economic modelling 33 (2013), pp. 194-203

Persistent link: https://www.econbiz.de/10010191991

Operational risk of option hedging

Mitra, Sovan - In: Economic Modelling 33 (2013) C, pp. 194-203

Operational risk is increasingly being recognised as a significant area of risk and regulation, yet there exists relatively little research on it. In this paper we show that operational risk represents a fundamental risk to option hedging and investigate it by proposing a new theoretical model....

Persistent link: https://www.econbiz.de/10010737959