The marginal distributions of multi-tail generalized elliptical dsitributions다중꼬리 타원분포의 주변분포

Cited 0 time in webofscience Cited 0 time in scopus
  • Hit : 593
  • Download : 0
DC FieldValueLanguage
dc.contributor.advisorKang, Wan-Mo-
dc.contributor.advisor강완모-
dc.contributor.authorLee, Cheol-Hyoung-
dc.contributor.author이철형-
dc.date.accessioned2015-04-29-
dc.date.available2015-04-29-
dc.date.issued2014-
dc.identifier.urihttp://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=592349&flag=dissertation-
dc.identifier.urihttp://hdl.handle.net/10203/198141-
dc.description학위논문(석사) - 한국과학기술원 : 수리과학과, 2014.8, [ iii, 18 p. ]-
dc.description.abstractIn the study of asset returns, most of empirical data show that the return distributions are not normally distributed. Moreover, the hypothesis of homogeneous tail behavior of the return distributions is also rejected. So we present the multi-tail generalized elliptical distribution that covers that inhomogeneous tail behavior. In addition, the multi-tail generalized elliptical distribution significantly outperforms the classical elliptical model by the paper of Kring et al. [2]. In this paper, we calculate (1) the marginal distribution of the multi-tail generalized elliptical distrubution and (2) that of the multi-tail t-distribution which is one of the multi-tail generalized elliptical distribution.eng
dc.languageeng-
dc.publisher한국과학기술원-
dc.subjectelliptical distribution-
dc.subject주변-
dc.subject타원-
dc.subject다중꼬리-
dc.subject타원분포-
dc.subjectmarginal-
dc.subjectmultitail-
dc.subjectelliptical-
dc.titleThe marginal distributions of multi-tail generalized elliptical dsitributions-
dc.title.alternative다중꼬리 타원분포의 주변분포-
dc.typeThesis(Master)-
dc.identifier.CNRN592349/325007 -
dc.description.department한국과학기술원 : 수리과학과, -
dc.identifier.uid020124512-
dc.contributor.localauthorKang, Wan-Mo-
dc.contributor.localauthor강완모-
Appears in Collection
MA-Theses_Master(석사논문)
Files in This Item
There are no files associated with this item.

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0