Box–Cox elliptical distributions with application

Box–Cox elliptical distributions with application

We propose and study the class of Box–Cox elliptical distributions. It provides alternative distributions for modeling multivariate positive, marginally skewed and possibly heavy-tailed data. This new class of distributions has as a special case the class of log-elliptical distributions, and reduces...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Metrika 2019-07, Vol.82 (5), p.547-571
Hauptverfasser: Morán-Vásquez, Raúl Alejandro, Ferrari, Silvia L. P.
Format: Artikel
Sprache:eng
Schlagworte:
Economic Theory/Quantitative Economics/Mathematical Methods
Mathematical models
Mathematics and Statistics
Modelling
Mutual funds
Normal distribution
Parameters
Probability Theory and Stochastic Processes
Quantiles
Statistics
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
container_end_page 571
container_issue 5
container_start_page 547
container_title Metrika
container_volume 82
creator Morán-Vásquez, Raúl Alejandro
Ferrari, Silvia L. P.
description We propose and study the class of Box–Cox elliptical distributions. It provides alternative distributions for modeling multivariate positive, marginally skewed and possibly heavy-tailed data. This new class of distributions has as a special case the class of log-elliptical distributions, and reduces to the Box–Cox symmetric class of distributions in the univariate setting. The parameters are interpretable in terms of quantiles and relative dispersions of the marginal distributions and of associations between pairs of variables. The relation between the scale parameters and quantiles makes the Box–Cox elliptical distributions attractive for regression modeling purposes. Applications to data on vitamin intake are presented and discussed.
doi_str_mv 10.1007/s00184-018-0682-z
format Article
fullrecord <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_journals_2238020850</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>2238020850</sourcerecordid><originalsourceid>FETCH-LOGICAL-c349t-3c1c2463a02db69d3de3910012df6980284f7f6b5c6c85f2c0e8d7fa39ab86e13</originalsourceid><addsrcrecordid>eNp1kMFKxDAQhoMouK4-gLeC5-hk0qbpURddhQUvCt5CmiaapW5r0sV1T76Db-iTmKWCJy8zMPP9_ww_IacMzhlAeREBmMxpKhSERLrdIxOW84JWKJ72yQQABWWcF4fkKMZlokuBOCH8qtt8f37Nuk1m29b3gze6zRofh-Dr9eC7Vcze_fCS6b5v0243OSYHTrfRnvz2KXm8uX6Y3dLF_fxudrmghufVQLlhBnPBNWBTi6rhjeVVepZh40QlAWXuSifqwggjC4cGrGxKp3mlayks41NyNvr2oXtb2zioZbcOq3RSIfJkALKARLGRMqGLMVin-uBfdfhQDNQuGzVmo1JRu2zUNmlw1MTErp5t-HP-X_QDb85n6A</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>2238020850</pqid></control><display><type>article</type><title>Box–Cox elliptical distributions with application</title><source>SpringerLink Journals - AutoHoldings</source><creator>Morán-Vásquez, Raúl Alejandro ; Ferrari, Silvia L. P.</creator><creatorcontrib>Morán-Vásquez, Raúl Alejandro ; Ferrari, Silvia L. P.</creatorcontrib><description>We propose and study the class of Box–Cox elliptical distributions. It provides alternative distributions for modeling multivariate positive, marginally skewed and possibly heavy-tailed data. This new class of distributions has as a special case the class of log-elliptical distributions, and reduces to the Box–Cox symmetric class of distributions in the univariate setting. The parameters are interpretable in terms of quantiles and relative dispersions of the marginal distributions and of associations between pairs of variables. The relation between the scale parameters and quantiles makes the Box–Cox elliptical distributions attractive for regression modeling purposes. Applications to data on vitamin intake are presented and discussed.</description><identifier>ISSN: 0026-1335</identifier><identifier>EISSN: 1435-926X</identifier><identifier>DOI: 10.1007/s00184-018-0682-z</identifier><language>eng</language><publisher>Berlin/Heidelberg: Springer Berlin Heidelberg</publisher><subject>Economic Theory/Quantitative Economics/Mathematical Methods ; Mathematical models ; Mathematics and Statistics ; Modelling ; Mutual funds ; Normal distribution ; Parameters ; Probability Theory and Stochastic Processes ; Quantiles ; Statistics</subject><ispartof>Metrika, 2019-07, Vol.82 (5), p.547-571</ispartof><rights>Springer-Verlag GmbH Germany, part of Springer Nature 2018</rights><rights>Copyright Springer Nature B.V. 2019</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c349t-3c1c2463a02db69d3de3910012df6980284f7f6b5c6c85f2c0e8d7fa39ab86e13</citedby><cites>FETCH-LOGICAL-c349t-3c1c2463a02db69d3de3910012df6980284f7f6b5c6c85f2c0e8d7fa39ab86e13</cites><orcidid>0000-0001-5203-0875</orcidid></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://link.springer.com/content/pdf/10.1007/s00184-018-0682-z$$EPDF$$P50$$Gspringer$$H</linktopdf><linktohtml>$$Uhttps://link.springer.com/10.1007/s00184-018-0682-z$$EHTML$$P50$$Gspringer$$H</linktohtml><link.rule.ids>314,778,782,27907,27908,41471,42540,51302</link.rule.ids></links><search><creatorcontrib>Morán-Vásquez, Raúl Alejandro</creatorcontrib><creatorcontrib>Ferrari, Silvia L. P.</creatorcontrib><title>Box–Cox elliptical distributions with application</title><title>Metrika</title><addtitle>Metrika</addtitle><description>We propose and study the class of Box–Cox elliptical distributions. It provides alternative distributions for modeling multivariate positive, marginally skewed and possibly heavy-tailed data. This new class of distributions has as a special case the class of log-elliptical distributions, and reduces to the Box–Cox symmetric class of distributions in the univariate setting. The parameters are interpretable in terms of quantiles and relative dispersions of the marginal distributions and of associations between pairs of variables. The relation between the scale parameters and quantiles makes the Box–Cox elliptical distributions attractive for regression modeling purposes. Applications to data on vitamin intake are presented and discussed.</description><subject>Economic Theory/Quantitative Economics/Mathematical Methods</subject><subject>Mathematical models</subject><subject>Mathematics and Statistics</subject><subject>Modelling</subject><subject>Mutual funds</subject><subject>Normal distribution</subject><subject>Parameters</subject><subject>Probability Theory and Stochastic Processes</subject><subject>Quantiles</subject><subject>Statistics</subject><issn>0026-1335</issn><issn>1435-926X</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2019</creationdate><recordtype>article</recordtype><recordid>eNp1kMFKxDAQhoMouK4-gLeC5-hk0qbpURddhQUvCt5CmiaapW5r0sV1T76Db-iTmKWCJy8zMPP9_ww_IacMzhlAeREBmMxpKhSERLrdIxOW84JWKJ72yQQABWWcF4fkKMZlokuBOCH8qtt8f37Nuk1m29b3gze6zRofh-Dr9eC7Vcze_fCS6b5v0243OSYHTrfRnvz2KXm8uX6Y3dLF_fxudrmghufVQLlhBnPBNWBTi6rhjeVVepZh40QlAWXuSifqwggjC4cGrGxKp3mlayks41NyNvr2oXtb2zioZbcOq3RSIfJkALKARLGRMqGLMVin-uBfdfhQDNQuGzVmo1JRu2zUNmlw1MTErp5t-HP-X_QDb85n6A</recordid><startdate>20190701</startdate><enddate>20190701</enddate><creator>Morán-Vásquez, Raúl Alejandro</creator><creator>Ferrari, Silvia L. P.</creator><general>Springer Berlin Heidelberg</general><general>Springer Nature B.V</general><scope>AAYXX</scope><scope>CITATION</scope><orcidid>https://orcid.org/0000-0001-5203-0875</orcidid></search><sort><creationdate>20190701</creationdate><title>Box–Cox elliptical distributions with application</title><author>Morán-Vásquez, Raúl Alejandro ; Ferrari, Silvia L. P.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c349t-3c1c2463a02db69d3de3910012df6980284f7f6b5c6c85f2c0e8d7fa39ab86e13</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2019</creationdate><topic>Economic Theory/Quantitative Economics/Mathematical Methods</topic><topic>Mathematical models</topic><topic>Mathematics and Statistics</topic><topic>Modelling</topic><topic>Mutual funds</topic><topic>Normal distribution</topic><topic>Parameters</topic><topic>Probability Theory and Stochastic Processes</topic><topic>Quantiles</topic><topic>Statistics</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Morán-Vásquez, Raúl Alejandro</creatorcontrib><creatorcontrib>Ferrari, Silvia L. P.</creatorcontrib><collection>CrossRef</collection><jtitle>Metrika</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Morán-Vásquez, Raúl Alejandro</au><au>Ferrari, Silvia L. P.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Box–Cox elliptical distributions with application</atitle><jtitle>Metrika</jtitle><stitle>Metrika</stitle><date>2019-07-01</date><risdate>2019</risdate><volume>82</volume><issue>5</issue><spage>547</spage><epage>571</epage><pages>547-571</pages><issn>0026-1335</issn><eissn>1435-926X</eissn><abstract>We propose and study the class of Box–Cox elliptical distributions. It provides alternative distributions for modeling multivariate positive, marginally skewed and possibly heavy-tailed data. This new class of distributions has as a special case the class of log-elliptical distributions, and reduces to the Box–Cox symmetric class of distributions in the univariate setting. The parameters are interpretable in terms of quantiles and relative dispersions of the marginal distributions and of associations between pairs of variables. The relation between the scale parameters and quantiles makes the Box–Cox elliptical distributions attractive for regression modeling purposes. Applications to data on vitamin intake are presented and discussed.</abstract><cop>Berlin/Heidelberg</cop><pub>Springer Berlin Heidelberg</pub><doi>10.1007/s00184-018-0682-z</doi><tpages>25</tpages><orcidid>https://orcid.org/0000-0001-5203-0875</orcidid></addata></record>
fulltext fulltext
identifier ISSN: 0026-1335
ispartof Metrika, 2019-07, Vol.82 (5), p.547-571
issn 0026-1335
1435-926X
language eng
recordid cdi_proquest_journals_2238020850
source SpringerLink Journals - AutoHoldings
subjects Economic Theory/Quantitative Economics/Mathematical Methods
Mathematical models
Mathematics and Statistics
Modelling
Mutual funds
Normal distribution
Parameters
Probability Theory and Stochastic Processes
Quantiles
Statistics
title Box–Cox elliptical distributions with application
url https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-17T03%3A17%3A15IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Box%E2%80%93Cox%20elliptical%20distributions%20with%20application&rft.jtitle=Metrika&rft.au=Mor%C3%A1n-V%C3%A1squez,%20Ra%C3%BAl%20Alejandro&rft.date=2019-07-01&rft.volume=82&rft.issue=5&rft.spage=547&rft.epage=571&rft.pages=547-571&rft.issn=0026-1335&rft.eissn=1435-926X&rft_id=info:doi/10.1007/s00184-018-0682-z&rft_dat=%3Cproquest_cross%3E2238020850%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=2238020850&rft_id=info:pmid/&rfr_iscdi=true