The standard two-sided power distribution and its properties: With applications in financial engineering

被引：100

作者：

van Dorp, JR ^{[1
]}

Kotz, S ^{[1
]}

机构：

[1] George Washington Univ, Sch Engn & Appl Sci, Dept Engn Management & Syst Engn, Washington, DC 20052 USA

来源：

AMERICAN STATISTICIAN | 2002年 / 56卷 / 02期

关键词：

beta distribution; triangular distribution;

D O I：

10.1198/000313002317572745

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This article discusses a family of distributions which would seem not to receive proper attention in the literature. The two-parameter distribution is introduced With an application in the financial engineering domain. Special cases of this family include the triangular distribution, the standard power function distribution, and the uniform distribution. Properties of the distribution are investigated and the maximum likelihood estimation procedure for its two parameters is derived. The flexibility of the family as compared to that of the beta family is discussed.

引用

页码：90 / 99

页数：10

共 18 条

[1]

Elderton W. P., 1969, SYSTEMS FREQUENCY CU

[2]

HARRIS B, 1966, THEORY PROBABILITY

[3] The triangular distribution as a proxy for the beta distribution in risk analysis [J].