Skewed and fat-tailed distributions frequently occur in many applications.Models proposed to deal with skewness and kurtosis may be difficult to treat becausethe density function cannot usually be written in a closed form and themomentsmightnot exist. The log-Dagum distribution is a flexible and simple model obtained by alogarithmic transformation of the Dagum random variable. In this paper, some characteristicsof the model are illustrated and the estimation of the parameters is considered.An application is given with the purpose of modeling kurtosis and skewness that markthe financial return distribution.

Some developments on the log-Dagum distribution

DOMMA, Filippo;P. F. PERRI
2009

Abstract

Skewed and fat-tailed distributions frequently occur in many applications.Models proposed to deal with skewness and kurtosis may be difficult to treat becausethe density function cannot usually be written in a closed form and themomentsmightnot exist. The log-Dagum distribution is a flexible and simple model obtained by alogarithmic transformation of the Dagum random variable. In this paper, some characteristicsof the model are illustrated and the estimation of the parameters is considered.An application is given with the purpose of modeling kurtosis and skewness that markthe financial return distribution.
Skewness, Kurtosis, Fisher information matrix, Value-at-Risk
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/20.500.11770/151448
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