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Generalized Beta-Generated Distributions

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  • Carol Alexander

    (ICMA Centre, Henley Business School, University of Reading)

  • Jose Maria Sarabia

    (Department of Economics, University of Cantabria, Spain)

Abstract

This paper introduces a new class of generalized beta-generated distributions that have very flexible shapes and tractable properties. Their quantiles and moments have a simple closed form and they are maximum entropy distributions under three simple conditions. Two special cases are the classical beta-generated and the Kumaraswamy-generated distributions. An attractive feature of generalized beta-normal distributions is that the three generalized beta parameters afford greater control over the weights in both tails and in the centre of the generated distribution, compared with the classical beta-normal distribution.

Suggested Citation

  • Carol Alexander & Jose Maria Sarabia, 2010. "Generalized Beta-Generated Distributions," ICMA Centre Discussion Papers in Finance icma-dp2010-09, Henley Business School, University of Reading.
    • Handle: RePEc:rdg:icmadp:icma-dp2010-09
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    File URL: http://www.icmacentre.ac.uk/files/discussion-papers/DP2010_09.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    generalized beta; Kumaraswamy minimax; generated distributions; maximum entropy;
    All these keywords.

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • G1 - Financial Economics - - General Financial Markets

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