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Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1048640
Description: We derive the asymptotic rate of decay to zero of the tail dependence of the bivariate skew normal distribution under the equal-skewness condition α₁=α₂,=α, say. The rate depends on whether α>0 or α<0 ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/320148
Description: We examine the rate of decay to the limit of the tail dependence coefficient of a bivariate skew-t distribution. This distribution always displays asymptotic tail dependence. It contains as a special ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/327049
Description: Model selection from several non-nested models by using the deviance information criterion within Bayesian inference Using Gibbs Sampling (BUGS) software needs to be treated with caution. This is part ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272143
Description: Best and Gipps (1974) showed that the negative binomial distribution can be approximated closely by a gamma distribution. Using the moment estimators for the parameters in the gamma distribution, we u ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/262768
Description: The Generalised Normal Variance-Mean (GNVM) model in which the mixing random variable is Gamma distributed is considered. This model generalises the popular Variance-Gamma (VG) distribution. This GNVM ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/142433
Description: We explain the connection between autocorrelation functions of stationary continuous time processes and real characteristic functions, and review sufficient conditions for a function to be an autocorr ... More
Reviewed: Reviewed
Date: 2011
Subject Keyword: 010400 Statistics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/148279
Description: 7 page(s)
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/148295
Description: We derive the rate of decay of the tail dependence of the bivariate normal distribution and establish its link with regularly varying functions. This result is an initial step in explaining the discre ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/115258
Description: The GGH family of multivariate distributions is obtained by scale mixing on the Exponential Power distribution using the Extended Generalised Inverse Gaussian distribution. The resulting GGH family en ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/147015
Description: Maximum likelihood estimates are obtained for long data sets of bivariate financial returns using mixing representation of the bivariate (skew) Variance Gamma (VG) and two (skew) t distributions. By a ... More
Reviewed: Reviewed
Date: 2010
Subject Keyword: 010400 Statistics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/147025
Description: We examine two bivariate skewdistributions, both of which generalize the bivariate symmetric distribution. The second, based on the bivariate skew normal distribution, always displays positive asympto ... More
Reviewed: Reviewed
Date: 2008
Subject Keyword: 010400 Statistics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/137600
Description: Certain univariate symmetric distributions are representable as scale mixtures of the uniform distribution (SMU). We give a characterisation theorem for the more general multivariate spherical distrib ... More
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/137606
Description: This paper studies analytically and numerically the tail behavior of the symmetric variance-gamma (VG), t, and exponential-power (EP) distributions. Special emphasis is on the VG, which is a direct co ... More
Reviewed: Reviewed
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/137595
Description: Continuity corrections do not always give a more accurate approximation in the tail area of integer-valued random variables. By studying the relative error, we can compare tail area approximation with ... More
Reviewed: Reviewed
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