Orthogonal polynomials for tailoring density functions to excess kurtosis, asymmetry, and dependence

DOI10.1080/03610926.2013.818698zbMath1381.62034OpenAlexW2094293852MaRDI QIDQ2807655

Valerio Potì, Mario Faliva, Maria Grazia Zoia

Publication date: 25 May 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.818698

zbMATH Keywords

asymmetrykurtosisbetween-squares dependenceorthogonal polynomials vs. moments

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Characterization and structure theory of statistical distributions (62E10)

Related Items (4)

Gram-Charlier-like expansions of power-raised hyperbolic secant laws ⋮ Leptokurtic moment-parameterized elliptically contoured distributions with application to financial stock returns ⋮ Gram-Charlier-like expansions of the convoluted hyperbolic-secant density ⋮ Kurtosis analysis in GARCH models with Gram-Charlier-like innovations

Cites Work

• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• Tailoring the Gaussian Law for Excess Kurtosis and Skewness by Hermite Polynomials
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