A method of simulating multivariate nonnormal distributions by the Pearson distribution system and estimation
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References listed on IDEAS
- C. Vale & Vincent Maurelli, 1983. "Simulating multivariate nonnormal distributions," Psychometrika, Springer;The Psychometric Society, vol. 48(3), pages 465-471, September.
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Cited by:
- Max Auerswald & Morten Moshagen, 2015. "Generating Correlated, Non-normally Distributed Data Using a Non-linear Structural Model," Psychometrika, Springer;The Psychometric Society, vol. 80(4), pages 920-937, December.
- Abdullah, M.A. & Agalgaonkar, A.P. & Muttaqi, K.M., 2013. "Probabilistic load flow incorporating correlation between time-varying electricity demand and renewable power generation," Renewable Energy, Elsevier, vol. 55(C), pages 532-543.
- Yuichi Nagahara, 2011. "Using Nonnormal Distributions to Analyze the Relationship Between Stock Returns in Japan and the US," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(4), pages 429-443, November.
- Stavroyiannis, S. & Makris, I. & Nikolaidis, V. & Zarangas, L., 2012. "Econometric modeling and value-at-risk using the Pearson type-IV distribution," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 10-17.
- Stavros Stavroyiannis & Leonidas Zarangas, 2013. "Out of Sample Value-at-Risk and Backtesting with the Standardized Pearson Type-IV Skewed Distribution," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(2), pages 231-247, April.
- Stavros Stavroyiannis, 2016. "Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution," Papers 1602.05749, arXiv.org.
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