Generalized Beta-Generated Distributions
Carol Alexander () and
José María Sarabia ()
ICMA Centre Discussion Papers in Finance from Henley Business School, University of Reading
This paper introduces a new class of generalized beta-generated distributions that have very flexible shapes and tractable properties. Their quantiles and moments have a simple closed form and they are maximum entropy distributions under three simple conditions. Two special cases are the classical beta-generated and the Kumaraswamy-generated distributions. An attractive feature of generalized beta-normal distributions is that the three generalized beta parameters afford greater control over the weights in both tails and in the centre of the generated distribution, compared with the classical beta-normal distribution.
Keywords: generalized beta; Kumaraswamy minimax; generated distributions; maximum entropy (search for similar items in EconPapers)
JEL-codes: C16 G1 (search for similar items in EconPapers)
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Journal Article: Generalized beta-generated distributions (2012)
Working Paper: Generalized Beta-Generated Distributions (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:rdg:icmadp:icma-dp2010-09
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