This article deals with the problem of tailoring distributions to embody evidence of moments and dependence structure deviating from those of a given parent law. First, we show that finite-moment distributions can be reshaped, to allow for extra kurtosis, asymmetry, and dependence by using orthogonal polynomials. Then, we derive a set of orthogonal polynomials for adjusting any symmetric density to given requirements in terms of moments. Conditions for positiveness of the resulting polynomially modified distribution are further established. This provides a broader approach to reshaping parent distributions by means of polynomial adjustments than that currently found in the literature.
|Titolo:||Orthogonal polynomials for tailoring density functions to excess kurtosis, asymmetry, and dependence|
|Data di pubblicazione:||2016|
|Appare nelle tipologie:||1.1 Articolo in rivista|
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|Faliva et al (2016) Orthogonal polynomials for tailoring density functions to excess kurtosis asymmetry and dependence.pdf||Documento in Versione Editoriale||NON PUBBLICO - Accesso privato/ristretto||Administrator Richiedi una copia|