TRANSMUTED NORMAL DISTRIBUTION AND AN APPLICATION TO FINANCE

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dc.contributor.authorSezer, Demet
dc.contributor.authorCelik, Nuri
dc.date.accessioned2020-03-26T20:19:39Z
dc.date.available2020-03-26T20:19:39Z
dc.date.issued2019
dc.departmentSelçuk Üniversitesien_US
dc.description.abstractMost of the statistical analyses are performed by using normal distribution theory such as regression analysis, hypothesis testing and analysis of variance. However, as indicated in many papers, in real life, nonnormal distributions are much more common than normal distribution. Therefore, the generalization of normal distribution has been widely studied in order to get more flexible fittings to real life data examples. In this paper, we generalize normal distribution by using quadratic rank transmution mapping method proposed by Shaw and Buckley [1]. Some properties like probability density function, cumulative distribution function and the moments of this new distribution are obtained. As an example, we applied this new proposed distribution to the Value at Risk (VaR) analysis which has been generally used in finance theory.en_US
dc.identifier.doi10.17654/AS054020301en_US
dc.identifier.endpage313en_US
dc.identifier.issn0972-3617en_US
dc.identifier.issue2en_US
dc.identifier.pmid#YOKen_US
dc.identifier.startpage301en_US
dc.identifier.urihttps://dx.doi.org/10.17654/AS054020301
dc.identifier.urihttps://hdl.handle.net/20.500.12395/38353
dc.identifier.volume54en_US
dc.identifier.wosWOS:000464537700007en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.language.isoenen_US
dc.publisherPUSHPA PUBLISHING HOUSEen_US
dc.relation.ispartofADVANCES AND APPLICATIONS IN STATISTICSen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.selcuk20240510_oaigen_US
dc.subjectgeneralization procedureen_US
dc.subjectstatistical distributionsen_US
dc.subjecttransmuted distributionsen_US
dc.subjectValue at Risk (VaR)en_US
dc.titleTRANSMUTED NORMAL DISTRIBUTION AND AN APPLICATION TO FINANCEen_US
dc.typeArticleen_US

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