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...

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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
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