Pregled bibliografske jedinice broj: 1110761
An Asymmetric multivariate Weibull distribution
An Asymmetric multivariate Weibull distribution // Communications in statistics : theory and methods, Volume 49, 2020 - Issue 18 (2019), 4394-4412 doi:10.1080/03610926.20191599949 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 1110761 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
An Asymmetric multivariate Weibull distribution
Autori
Jurić, Višnja ; Kozubowski, Tomasz J ; Permna, Mihael
Izvornik
Communications in statistics : theory and methods (0361-0926) Volume 49, 2020 - Issue 18
(2019);
4394-4412
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
Financial data modeling, Gaussian mixture, Laplace law, Multivariate Weibull distribution, Skew multivariate distribution
Sažetak
A class of multivariate laws as an extension of univariate Weibull distribution is presented. A well known representation of the asymmetric univariate Laplace distribution is used as the starting point. This new family of distributions exhibits some similarities to the multivariate normal distribution. Properties of this class of distributions are explored including moments, correlations, densities and simulation algorithms. The distribution is applied to model bivariate exchange rate data. The fit of the proposed model seems remarkably good. Parameters are estimated and a bootstrap study performed to assess the accuracy of the estimators.
Izvorni jezik
Engleski
Znanstvena područja
Matematika, Interdisciplinarne prirodne znanosti, Ekonomija
Citiraj ovu publikaciju:
Časopis indeksira:
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
