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- W29480857 abstract "The gh-family of distributions or gh-distributions, introduced by J. W. Tukey (1960), are generated by a single transformation of the standard normal distribution and allow for symmetry and leptokurtosis represented by the parameters g and h, respectively. In this study we generalize Tukey’s proposal in such a way that other symmetric distributions than the normal distribution are taken as starting points for the transformation. In particular, emphasize is put on the Laplace distribution and on the t-distribution for a fixed number of degrees. The aim is to show what kind of substitution takes place between a leptokurtic symmetric distribution and the parameters g and h. Due to numerical problems associated with maximum likelihood estimation, we make use of Hoaglin’s (1983) quantile-based estimation technique. Finally, it is demonstrated that the selected families of gh-transformed symmetrical distributions are suitable to model the returns of financial data." @default.
- W29480857 created "2016-06-24" @default.
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- W29480857 date "2002-01-01" @default.
- W29480857 modified "2023-09-27" @default.
- W29480857 title "gh-Transformation of Symmetrical Distributions" @default.
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- W29480857 doi "https://doi.org/10.1007/978-1-4757-3602-1_9" @default.
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