Izvorni znanstveni članak
https://doi.org/10.54820/entrenova-2024-0008
Two – Dimensional Modelling of Financial Data
Višnja Jurić
; Effectus University of Applied Sciences, Zagreb
Sažetak
The article deals with modelling of two-dimensional financial data set using Weibull distribution extended to two-dimensional setting. The generalization in two dimensions is not direct, it goes through representation of one-dimensional asymmetric Laplace distribution. The characteristics of the new distribution are described, and parameters are estimated using the method of moments. Statistical package R is used to perform numerical search. At the end, the application of this new two- dimensional family of distributions is discussed.
Ključne riječi
method of moments; bivariate asymmetric Weibull distribution; currency exchange rates; application
Hrčak ID:
322214
URI
Datum izdavanja:
11.11.2024.
Posjeta: 3 *