Search results for "exponential power distribution"
showing 5 items of 5 documents
Assessing fat-tailed sequential forecast distributions for the Dow-Jones index with logarithmic scoring rules
2007
We use the logarithmic scoring rule for distributions to assess a variety of fat-tailed sequential forecasting distributions for the Dow-Jones industrial stock index from 1980 to the present. The methodology applies Bruno de Finetti''s contributions to understanding how to compare the quality of different coherent forecasting distributions for the same sequence of observations, using proper scoring rules. Four different forms of forecasting distributions are compared: a mixture Normal, a mixture of convex combinations of three Normal distributions, a mixture exponential power distribution, and a mixture of a convex combination of three exponential power distributions. The mixture linear com…
Modelling a proportion response variable using generalised additive models for location scale and shape
2015
In this paper two alternative approaches are proposed to model a response variable Y measured on the interval from zero to one, including both zero and one. The first proposed model employs a flexible four parameter distribution for 0 < Y < 1, for example a logit skew exponential power distribution, inflated by including point probabilities at 0 and 1. The second proposed model is a generalised Tobit model, obtained from a flexible four parameter distribution on (-infinity;+infinity), for example the skew exponential power distribution, by censoring below 0 and above 1. The proposed models are applied to a real data set and compared with current popular models.
Sequentially Forecasting Economic Indices Using Mixture Linear Combinations of EP Distributions
2021
This article displays an application of the statistical method moti- vated by Bruno de Finetti's operational subjective theory of probability. We use exchangeable forecasting distributions based on mixtures of linear com- binations of exponential power (EP) distributions to forecast the sequence of daily rates of return from the Dow-Jones index of stock prices over a 20 year period. The operational subjective statistical method for comparing distributions is quite different from that commonly used in data analysis, because it rejects the basic tenets underlying the practice of hypothesis test- ing. In its place, proper scoring rules for forecast distributions are used to assess the values o…
A Software Tool for the Exponential Power Distribution: The normalp Package
2005
In this paper we present the normalp package, a package for the statistical environment R that has a set of tools for dealing with the exponential power distribution. In this package there are functions to compute the density function, the distribution function and the quantiles from an exponential power distribution and to generate pseudo-random numbers from the same distribution. Moreover, methods concerning the estimation of the distribution parameters are described and implemented. It is also possible to estimate linear regression models when we assume the random errors distributed according to an exponential power distribution. A set of functions is designed to perform simulation studi…
A Cross-Sectional Analysis of Growth and Profit Rate Distribution: The Spanish Case
2022
We analyse the time evolution of the empirical cross-sectional distribution of firms’ profit and growth rates. In particular, we analyse the conditional properties of the empirical distributions depending on the size of the firms and the business cycle phase. In order to do so, we employ the Laplace distribution as a benchmark, further considering the Subbotin and Asymmetric Exponential Power (AEP hereafter) distributions, to capture the potential asymmetry and leptokurtosis of the empirical distribution. Our results show that the profit rates of large firms are characterised by an asymmetric Laplace distribution with parameters largely independent of the business cycle phase. Small firms, …