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Power kurtosis transformations: Definition, properties and ordering

Author

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  • Ingo Klein
  • Matthias Fischer

Abstract

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Suggested Citation

  • Ingo Klein & Matthias Fischer, 2006. "Power kurtosis transformations: Definition, properties and ordering," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(3), pages 395-401, September.
    • Handle: RePEc:spr:alstar:v:90:y:2006:i:3:p:395-401
    DOI: 10.1007/s10182-006-0241-1
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    Citations

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    Cited by:

    1. Matthias Fischer, 2010. "Generalized Tukey-type distributions with application to financial and teletraffic data," Statistical Papers, Springer, vol. 51(1), pages 41-56, January.
    2. Rubio, Francisco Javier & Steel, Mark F. J., 2014. "Bayesian modelling of skewness and kurtosis with two-piece scale and shape transformations," MPRA Paper 57102, University Library of Munich, Germany.
    3. Fischer, Matthias J., 2006. "A note on the construction of generalized Tukey-type transformations," Discussion Papers 73/2006, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
    4. Fischer, Matthias J., 2006. "Generalized Tukey-type distributions with application to financial and teletraffic data," Discussion Papers 72/2006, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.

    More about this item

    Keywords

    Power kurtosis transformation; leptokurtosis; kurtosis ordering; JEL C16; C51;
    All these keywords.

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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