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Comparison and classification of flexible distributions for multivariate skew and heavy-tailed data

Babic, Sladana
; 
Ley, Christophe
; 
Veredas, David
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Publication Type
Journal article with impact factor
Editor
Supervisor
Publication Year
2019
Journal
Symmetry
Book
Publication Volume
11
Publication Issue
10
Publication Begin page
1216
Publication End page
Publication NUmber of pages
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Abstract
We present, compare and classify popular families of flexible multivariate distributions. Our classification is based on the type of symmetry (spherical, elliptical, central symmetry or asymmetry) and the tail behaviour (a single tail weight parameter or multiple tail weight parameters). We compare the families both theoretically (relevant properties and distinctive features) and with a Monte Carlo study (comparing the fitting abilities in finite samples).
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Journal Issue
Keywords
Copulas, Elliptical Symmetry, Multi-tail Distributions, Skew-elliptical Distributions, Skewness, Transformation Approach
Citation
Knowledge Domain/Industry
Accounting & Finance
DOI
10.3390/sym11101216
URI
http://hdl.handle.net/20.500.12127/6388
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