The generalized beta- and F-distributions in statistical modelling

Generalized beta-generated distributions

This article introduces generalized beta-generated (GBG) distributions. Sub-models include all classical beta-generated, Kumaraswamy-generated and exponentiated distributions. They are maximum entropy distributions under three intuitive conditions, which show that the classical beta generator skewness parameters only control tail entropy and an additional shape parameter is needed to add entrop...

Generalized Non-extensive Statistical Distributions

We find the value of constants related to constraints in characterization of some known statistical distributions and then we proceed to use the idea behind maximum entropy principle to derive generalized version of this distributions using the Tsallis’ and Renyi information measures instead of the well-known Bolztmann-Gibbs-Shannon. These generalized distributions will depend on q ∈ R and in t...

Modelling Nancial Data Using Generalized Hyperbolic Distributions

Modelling Financial Data Using Generalized Hyperbolic Distributions

This note describes estimation algorithms for generalized hyperbolic hyperbolic and nor mal inverse Gaussian distributions These distributions provide a better t to empirically observed log return distributions of nancial assets than the classical normal distributions Based on the better t to the semi heavy tails of nancial assets we can compute more realistic Value at Risk estimates The modell...

The Beta Odd Log-logistic Generalized Family of Distributions

We introduce a new family of continuous models called the beta odd log-logistic generalized family of distributions. We study some of its mathematical properties. Its density function can be symmetrical, left-skewed, right-skewed, reversed-J, unimodal and bimodal shaped, and has constant, increasing, decreasing, upside-down bathtub and J-shaped hazard rates. Five special models are discussed. W...