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Pros and Cons of Skew-Symmetric Distributions and Copulas – Discussion Adcock, Chris
Description
The use of non-normal multivariate distributions generally presents challenges, which are both theoretical and empirical. Different classes of such distributions offer different opportunities and problems. The aim of this discussion is twofold. First it is to agree a list of headings with which non- normal multivariate distributions may be characterised. Secondly it is to discuss the pros and cons of skew-symmetric distributions and copulas under these headings. An obvious example is the computation of tail probabilities, for which the differences in the two types of distributions are clear. An output from this discussion could be the re-invigoration of existing streams of research. It could include a list of potential research projects.
Item Metadata
Title |
Pros and Cons of Skew-Symmetric Distributions and Copulas – Discussion
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Creator | |
Publisher |
Banff International Research Station for Mathematical Innovation and Discovery
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Date Issued |
2013-05-21
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Description |
The use of non-normal multivariate distributions generally presents challenges, which are both theoretical and empirical. Different classes of such distributions offer different opportunities and problems. The aim of this discussion is twofold. First it is to agree a list of headings with which non- normal multivariate distributions may be characterised. Secondly it is to discuss the pros and cons of skew-symmetric distributions and copulas under these headings. An obvious example is the computation of tail probabilities, for which the differences in the two types of distributions are clear. An output from this discussion could be the re-invigoration of existing streams of research. It could include a list of potential research projects.
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Extent |
45 minutes
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Subject | |
Type | |
File Format |
video/mp4
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Language |
eng
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Notes |
Author affiliation: Sheffield University Management School
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Series | |
Date Available |
2014-10-03
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Provider |
Vancouver : University of British Columbia Library
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Rights |
Attribution-NonCommercial-NoDerivs 2.5 Canada
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DOI |
10.14288/1.0044028
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URI | |
Affiliation | |
Peer Review Status |
Unreviewed
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Scholarly Level |
Researcher
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Rights URI | |
Aggregated Source Repository |
DSpace
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Item Media
Item Citations and Data
Rights
Attribution-NonCommercial-NoDerivs 2.5 Canada