Parameter estimation of Tukey-type distributions: A comparative analysis

Journal article


Publication Details

Author(s): Möstel L, Fischer M, Pfaelzner F, Pfeuffer M
Journal: Communications in Statistics-Simulation and Computation
Publication year: 2019
ISSN: 0361-0918


Abstract

Tukey-type distributions (a generalization of Tukey's gh(normal)-distribution) are attractive for a broad spectrum of applications since they can explicitly model flexible skewness and kurtosis features of practical data. However, since the likelihood function is not available in closed-form, the derivation of an accurate estimation method plays a crucial role and henceforth various procedures to overcome this issue were introduced, especially for Tukey's gh(normal)-distribution. After extending these approaches to all Tukey-type distributions, our main contribution is to provide a comprehensive simulation study to compare the methods against each other. Moreover, we illustrate the practical usage for the Nikkei225 stock index data.


FAU Authors / FAU Editors

Fischer, Matthias Prof. Dr.
Fachbereich Wirtschaftswissenschaften
Möstel, Linda
Lehrstuhl für Statistik und Ökonometrie
Pfeuffer, Marius
Lehrstuhl für Statistik und Ökonometrie


External institutions with authors

Bayerische Landesbank


How to cite

APA:
Möstel, L., Fischer, M., Pfaelzner, F., & Pfeuffer, M. (2019). Parameter estimation of Tukey-type distributions: A comparative analysis. Communications in Statistics-Simulation and Computation. https://dx.doi.org/10.1080/03610918.2019.1571604

MLA:
Möstel, Linda, et al. "Parameter estimation of Tukey-type distributions: A comparative analysis." Communications in Statistics-Simulation and Computation (2019).

BibTeX: 

Last updated on 2019-14-05 at 09:23