Computational Examples of a New Method for Distribution Selection in the Pearson System

Andriy Andreev, Antti Kanto and Pekka Malo

Journal of Applied Statistics, 2007, vol. 34, issue 4, 487-506

Abstract: A considerable problem in statistics and risk management is finding distributions that capture the complex behaviour exhibited by financial data. The importance of higher order moments in decision making has been well recognized and there is increasing interest in modelling with distributions that are able to account for these effects. The Pearson system can be used to model a wide scale of distributions with various skewness and kurtosis. This paper provides computational examples of a new easily implemented method for selecting probability density functions from the Pearson family of distributions. We apply this method to daily, monthly, and annual series using a range of data from commodity markets to macroeconomic variables.

Keywords: Pearson system; block bootstrap; selection criteria (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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DOI: 10.1080/02664760701231922

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