Search results for "Multivariate distribution"
showing 2 items of 2 documents
A CLASS OF MULTIVARIATE TRANSFORMED-EXPONENTIAL DISTRIBUTIONS
2013
In finance it is commonly accepted that heavy-tailed distributions are appropriate for modelling financial asset return variables and part of the financial literature has recently focused on them. Much less attention has been dedicated to the construction of joint models of asset returns unable to describe an adequate dependence structure between all these variables. In this paper we propose a procedure for constructing multivariate distributions with given heterogeneous heavy-tailed marginal distributions as a possible (under certain conditions) alternative to the copula approach. The procedure bases on the marginal transformation method and, for given plausible specifications of the margi…
Fractional calculus approach to the statistical characterization of random variables and vectors
2009
Fractional moments have been investigated by many authors to represent the density of univariate and bivariate random variables in different contexts. Fractional moments are indeed important when the density of the random variable has inverse power-law tails and, consequently, it lacks integer order moments. In this paper, starting from the Mellin transform of the characteristic function and by fractional calculus method we present a new perspective on the statistics of random variables. Introducing the class of complex moments, that include both integer and fractional moments, we show that every random variable can be represented within this approach, even if its integer moments diverge. A…