Multivariate distribution models with generalized hyperbolic margins

Computational Statistics and Data Analysis

Volumn 50, Issue 8, 2006, Pages 2065-2096

  Schmidt, Rafael ^a,b   Hrycej, Tomas ^c   Stützle, Eric ^c  

^a UNIVERSITY OF COLOGNE   (Germany)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^c DAIMLER AG   (Germany)

Author keywords

Affine linear transforms; Copula; Estimation; Generalized hyperbolic distributions; Multivariate distributions; Random number generation; Tail dependence

Indexed keywords

RANDOM NUMBER GENERATION; RANDOM PROCESSES; VECTORS;

AFFINE-LINEAR TRANSFORMS; COPULA; MULTIVARIATE DISTRIBUTIONS; TAIL DEPENDENCE;

DATA REDUCTION;

EID: 32444445700     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2005.03.010     Document Type: Article

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