Skew-symmetric distributions with natural skewness and their applications to financial engineering

2016 Fiscal Year Final Research Report

• Project/Area Number: 25330050
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Statistical science
• Research Institution: The Institute of Statistical Mathematics
• Principal Investigator: Fujisawa Hironori 統計数理研究所, 数理・推論研究系, 教授 (00301177)
• Co-Investigator(Renkei-kenkyūsha): ABE TOSHIHIRO 南山大学, 理工学部, 准教授 (70580570) ; NINOMIYA YOSHIYUKI 九州大学, 数理学研究院, 准教授 (50343330) ; TSUBAKI HIROE 統計数理研究所, データ科学研究系, 教授 (30155436)
• Project Period (FY): 2013-04-01 – 2017-03-31
• Keywords: 非対称分布 / 金融工学 / 自然な歪み

Outline of Final Research Achievements

A typical asymmetric distribution is a skew-symmetric distribution. It was proposed about 30 years ago, but it still remains to be representative. However, it includes a well-known drawback; when the skew parameter increases, the skewness does not always increase. To overcome this drawback, we have constructed a novel asymmetric distribution with a natural skew parameter and extended it to a multivariate case. We have also proposed a method for effectively generating random numbers. We are now considering a parameter estimation algorithm.

Free Research Field

統計科学