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On Some Bivariate Extensions of the Folded Normal and the Folded-T Distributions

Author

Listed:
  • Psarakis, Stelios
  • Panaretos, John

Abstract

In this paper two new bivariate distributions are defined and studied. They are two-variate versions of the folded normal distribution (Leone et al. 1961) and the folded t distribution (Psarakis and Panaretos 1990). They both arise in the context of evaluating the predictive behaviour of two competing linear models with the aim to select the one that leads to predictions closer to the actual value of the dependent variable

Suggested Citation

  • Psarakis, Stelios & Panaretos, John, 2001. "On Some Bivariate Extensions of the Folded Normal and the Folded-T Distributions," MPRA Paper 6383, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:6383
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    File URL: https://mpra.ub.uni-muenchen.de/6383/1/MPRA_paper_6383.pdf
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    References listed on IDEAS

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    1. Psarakis, Stelios & Panaretos, John, 1990. "The Folded t Distribution," MPRA Paper 6257, University Library of Munich, Germany.
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    Citations

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    Cited by:

    1. Michail Tsagris & Christina Beneki & Hossein Hassani, 2014. "On the Folded Normal Distribution," Mathematics, MDPI, vol. 2(1), pages 1-17, February.
    2. Xi Liu & Yiqiao Jin & Yifan Yang & Xiaoqing Pan, 2023. "Properties and Estimations of a Multivariate Folded Normal Distribution," Mathematics, MDPI, vol. 11(23), pages 1-15, December.
    3. Kourtis, Apostolos, 2014. "On the distribution and estimation of trading costs," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 104-117.

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    More about this item

    Keywords

    Folded normal; Folded-t distribution; Model selection;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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