Multivariate distribution models with generalized hyperbolic margins

DOI10.1016/j.csda.2005.03.010zbMath1445.62108OpenAlexW2157588673MaRDI QIDQ959294

Rafael Schmidt, Eric Stützle, Tomas Hrycej

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2005.03.010

zbMATH Keywords

copulaestimationrandom number generationmultivariate distributionstail dependenceaffine-linear transformsgeneralized hyperbolic distributions

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)

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Cites Work

• On the theory of elliptically contoured distributions
• An introduction to copulas. Properties and applications
• Tail dependence for elliptically contoured distributions
• On mergers of distributions and distributions with exponential tails
• Hyperbolic distributions in finance
• Entropy, divergence and distance measures with econometric applications
• Bayesian stopping rules for multistart global optimization methods
• Stochastic global optimization methods part II: Multi level methods
• The Simulation of Generalized Inverse Gaussian and Hyperbolic Random Variables
• Normal Variance-Mean Mixtures and z Distributions
• Multivariate extremes, aggregation and risk estimation
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