Naslov
Asymmetric Double Weibull Distributions

Autori
Jurić, Višnja

Vrsta, podvrsta i kategorija rada
Ocjenski radovi, magistarski rad

Fakultet
University of Nevada

Mjesto
Reno

Datum
23.07

Godina
2003

Stranica
135

Mentor
Kozubowski, Tomasz

Ključne riječi
Asymmetric Laplace law; double exponential distributions; mMaximum likelihood estimation; Skew normal distribution; foreign currency exchange rate

Sažetak
In this work we introduce and study univariate asymmetric Weibull distributions, obtained in two different ways. The firs way consists of converting the symmetric double Weibull distribution into the skew one by introducing inverse scale factors. The second way is symmetrization of the exponential distribution (Laplace), converting it into the skew one, and taking power in order to obtain an asymmetric double Weibull model. Basic properties of the classical Weibull distributions are reviewed at the beggining following by asymmetric double Weibull distribution and its basic properties. Maximum likelihood method is used to estimate the parameters. Some estimators are available in closed forms, while others reqire numerical search. The application of asymmetric double Weibull distributions in modeling currency exchange rates is presented at the end.

Izvorni jezik
Engleski

Znanstvena područja
Matematika

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