Quantile mechanics

DOI10.1017/S0956792508007341zbMath1143.60014OpenAlexW4247214211WikidataQ29395607 ScholiaQ29395607MaRDI QIDQ3503193

William T. Shaw, Gyorgy Steinbrecher

Publication date: 22 May 2008

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0956792508007341

zbMATH Keywords

inverse functionQuantile functionFokkerPlanck-Kolmogorov equation

Mathematics Subject Classification ID

Related Items (13)

RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC AND NON-PARAMETRIC BAYESIAN APPROACHES ⋮ The parametric and additive partial linear regressions based on the generalized odd log-logistic log-normal distribution ⋮ Unnamed Item ⋮ The bivariate normal copula function is regularly varying ⋮ Some new results for the transmuted generalized gamma distribution ⋮ An accurate, tractable, and analytically integrable polynomial expansion of the skewed Student’s t-distribution ⋮ On Some Properties of the Beta Normal Distribution ⋮ A statistical application of the quantile mechanics approach: MTM estimators for the parameters of t and gamma distributions ⋮ A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback ⋮ A simple formula based on quantiles for the moments of beta generalized distributions ⋮ CLOSED FORM EXPRESSION OF THE QUANTILE FUNCTION OF MAXWELL-BOLTZMANN DISTRIBUTION ⋮ A PDE method for estimation of implied volatility ⋮ Efficient and Accurate Parallel Inversion of the Gamma Distribution

Cites Work

• Unnamed Item
• On the quantiles of Brownian motion and their hitting times
• Long-time asymptotics of kinetic models of granular flows
• A Course in Financial Calculus
• Applying series expansion to the inverse beta distribution to find percentiles of the F -distribution
• Regression models for data with a non-zero probability of a zero response
• First‐Order Continuous Models of Opinion Formation
• On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
• Generalized Asymptotic Expansions of Cornish-Fisher Type

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