Principal component regression in GAMLSS applied to Greek–German government bond yield spreads

DOI10.1177/1471082x211022980OpenAlexW3174769815MaRDI QIDQ6078174

Robert A. Rigby, Unnamed Author, Dimitrios M. Stasinopoulos, Fernanda De Bastiani

Publication date: 27 September 2023

Published in: Statistical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1177/1471082x211022980

zbMATH Keywords

kurtosisskewnessBox-Cox \(t\)financial spreads

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Using the Box-Cox t distribution in GAMLSS to model skewness and kurtosis
• GAMLSS: A distributional regression approach
• The principal problem with principal components regression
• Prediction by Supervised Principal Components
• Generalized Additive Models for Location, Scale and Shape

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