Since the normal distribution is the gate keeper to several statistical procedures, so conformity of a given data set to its normality assumptions is often of concern to the statisticians. Numerous parametric and non-parametric tests are available for testing the goodness of fit, some commonly...

A novel distribution based on elliptic curves is developed to capture major leptokurtic features in the return distribution of financial assets. This distribution is based on the Weierstrass equation and depressed cubic polynomial; therefore, it is intuitive, mathematically elegant, analytically...

This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast electricity price spreads between different hours of the day. This supports an optimal day ahead storage and discharge schedule, and thereby facilitates a bidding strategy for...

The Poisson distribution, in general remains sensitive to small departure of frequencies especially at the right tail of the distribution. In many situations it may happen that the Generalized Poisson Distribution (GPD) or a compound distribution provides a closer fit to a frequency distribution...

This paper reports on the results of an extensive simulation study that compares three methods of estimating the value at risk of stock portfolios. Simulating returns from a wide range of data generating processes, we found that the peak-over-threshold (POT) method outperforms the transformed...

This work brings together two distinct pieces of evidence concerning, at the macro level, international distributions of incomes and their dynamics, and, at the micro level, the size distributions of firms and the properties of their growth rates. First, our empirical analysis provides a new...

This note discusses some problems possibly arising when approximating via MonteCarlo simulations the distributions of goodness-of-fit test statistics based on the empirical distribution function. We argue that failing to reestimate unknown parameters on each simulated Monte-Carlo sample - and...

This paper studies aspects of the broad class of log-concave probability distributions that arise in the economics of uncertainty and information. Useful properties of univariate log-concave distributions are proven without imposing differentiability of density functions. We also discuss...

We develop a general class of nonparametric tests for treatment effects conditional on covariates. We consider a wide spectrum of null and alternative hypotheses regarding conditional treatment effects, including (i) the null hypothesis of the conditional stochastic dominance between treatment...

We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that...