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Flexible mixture regression with the generalized hyperbolic distribution
Advances in Data Analysis and Classification, 2023zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Nam-Hwui Kim, Ryan P. Browne
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Generalized Hyperbolic Secant Distributions
Journal of the American Statistical Association, 1968The two-parameter family of distributions having characteristic functions given by φ(t) = (sech αt)ρ, α > 0 ρ > 0, is introducted and their basic structural properties are derived. Examples of some random variables having this distribution are given and, as an application, the distribution of the geometric mean of the absolute values of Cauchy ...
W. L. Harkness, M. L. Harkness
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Multivariate affine generalized hyperbolic distributions: An empirical investigation [PDF]
International Review of Financial Analysis, 2009 Abstract The aim of this paper is to estimate multivariate affine generalized distributions (MAGH) using market data. We use the Ibovespa, CAC, DAX, FTSE, NIKKEI and S&P500 indexes. We estimate the univariate distributions, bi-variate distributions and six-dimensional distribution. Then we assess their goodness of fit using Kolmogorov distances.
José Fajardo, Aquiles Farias
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Multivariate distribution models with generalized hyperbolic margins
Computational Statistics & Data Analysis, 2006zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rafael Schmidt +2 more
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A stein type lemma for the multivariate generalized hyperbolic distribution
European Journal of Operational Research, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Steven Vanduffel, Jing Yao
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Subspace clustering for the finite mixture of generalized hyperbolic distributions
Advances in Data Analysis and Classification, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Nam-Hwui Kim, Ryan P. Browne
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Cumulative Prospect Theory with Generalized Hyperbolic Skewed $t$ Distribution
SIAM Journal on Financial Mathematics, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Minsuk Kwak, Traian A. Pirvu
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Convolution-invariant subclasses of generalized hyperbolic distributions
Communications in Statistics - Theory and Methods, 2015AbstractIt is rigorously shown that the generalized Laplace distributions and the normal inverse Gaussian distributions are the only subclasses of the generalized hyperbolic distributions that are closed under convolution. The result is obtained by showing that the corresponding two classes of variance mixing distributions—gamma and inverse Gaussian ...
Krzysztof Podgórski, Jonas Wallin
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Tail-Adaptive Location Rank Test for the Generalized Secant Hyperbolic Distribution
Communications in Statistics - Simulation and Computation, 2008The generalized secant hyperbolic distribution (GSHD) was recently introduced as a modeling tool in data analysis. The GSHD is a unimodal distribution that is completely specified by location, scale, and shape parameters. It has also been shown elsewhere that the rank procedures of location are regular, robust, and asymptotically fully efficient.
Kravchuk, O., Hu, J.
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On random variate generation for the generalized hyperbolic secant distributions
Statistics and Computing, 1993We give random variate generators for the generalized hyperbolic secant distribution and related families such as Morris's skewed generalized hyperbolic secant family and a family introduced by Laha and Lukacs. The rejection method generators are uniformly fast over the parameter space and are based upon a complex function representation of the ...
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