{"id":"https://openalex.org/W2157383735","doi":null,"title":"Flexible distribution modeling with the generalized lambda distribution","display_name":"Flexible distribution modeling with the generalized lambda distribution","publication_year":2012,"publication_date":"2012-11-01","ids":{"openalex":"https://openalex.org/W2157383735","mag":"2157383735"},"language":"en","primary_location":{"id":"pmh:oai::43333","doi":null,"is_oa":true,"landing_page_url":"https://mpra.ub.uni-muenchen.de/43333/3/MPRA_paper_43333.pdf","pdf_url":"https://mpra.ub.uni-muenchen.de/43333/3/MPRA_paper_43333.pdf","source":{"id":"https://openalex.org/S4306400553","display_name":"Munich Personal RePEc Archive (Ludwig Maximilian University of Munich)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I8204097","host_organization_name":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","host_organization_lineage":["https://openalex.org/I8204097"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"MPRA Paper"},"volume":null,"type":"report","is_traditional":false,"indexed_in":[],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://mpra.ub.uni-muenchen.de/43333/3/MPRA_paper_43333.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5063203490","display_name":"Yohan Chalabi","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I154130895","display_name":"University of Auckland","ror":"https://ror.org/03b94tp07","country_code":"NZ","type":"education","lineage":["https://openalex.org/I154130895"]},{"id":"https://openalex.org/I35440088","display_name":"ETH Zurich","ror":"https://ror.org/05a28rw58","country_code":"CH","type":"education","lineage":["https://openalex.org/I2799323385","https://openalex.org/I35440088"]}],"countries":["CH","NZ"],"is_corresponding":false,"raw_author_name":"Chalabi, Yohan","raw_affiliation_strings":["Department of Statistics , University of Auckland , New Zealand","ETH Z\u00fcrich"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics , University of Auckland , New Zealand","institution_ids":["https://openalex.org/I154130895"]},{"raw_affiliation_string":"ETH Z\u00fcrich","institution_ids":["https://openalex.org/I35440088"]}]},{"author_position":"middle","author":{"id":null,"display_name":"Scott, David J","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Scott, David J","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5043191612","display_name":"Diethelm W\u00fcrtz","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I154130895","display_name":"University of Auckland","ror":"https://ror.org/03b94tp07","country_code":"NZ","type":"education","lineage":["https://openalex.org/I154130895"]},{"id":"https://openalex.org/I35440088","display_name":"ETH Zurich","ror":"https://ror.org/05a28rw58","country_code":"CH","type":"education","lineage":["https://openalex.org/I2799323385","https://openalex.org/I35440088"]},{"id":"https://openalex.org/I4405254722","display_name":"Institute for Theoretical Physics","ror":"https://ror.org/025en1p25","country_code":"CH","type":"facility","lineage":["https://openalex.org/I2799323385","https://openalex.org/I35440088","https://openalex.org/I4405254722"]}],"countries":["CH","NZ"],"is_corresponding":false,"raw_author_name":"Wuertz, Diethelm","raw_affiliation_strings":["Department of Statistics , University of Auckland , New Zealand","Institute for Theoretical Physics , ETH Zurich , Switzerland"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics , University of Auckland , New Zealand","institution_ids":["https://openalex.org/I154130895"]},{"raw_affiliation_string":"Institute for Theoretical Physics , ETH Zurich , Switzerland","institution_ids":["https://openalex.org/I35440088","https://openalex.org/I4405254722"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":23,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10968","display_name":"Statistical Distribution Estimation and Applications","score":0.9375,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T10968","display_name":"Statistical Distribution Estimation and Applications","score":0.9375,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.020099999383091927,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.015699999406933784,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/generalized-lambda-distribution","display_name":"generalized lambda distribution","score":1.0},{"id":"https://openalex.org/keywords/financial-data","display_name":"financial data","score":0.8209999799728394},{"id":"https://openalex.org/keywords/risk-measures","display_name":"risk measures","score":0.7850000262260437},{"id":"https://openalex.org/keywords/parameterization","display_name":"parameterization","score":0.7329999804496765},{"id":"https://openalex.org/keywords/skewness","display_name":"skewness","score":0.6159999966621399},{"id":"https://openalex.org/keywords/kurtosis","display_name":"kurtosis","score":0.8740000128746033},{"id":"https://openalex.org/keywords/tail-behavior","display_name":"tail behavior","score":0.8199999928474426},{"id":"https://openalex.org/keywords/moments","display_name":"moments","score":0.6549999713897705}],"concepts":[{"id":"https://openalex.org/C38976095","wikidata":"https://www.wikidata.org/wiki/Q752641","display_name":"Asymmetry","level":2,"score":0.7997000217437744},{"id":"https://openalex.org/C110121322","wikidata":"https://www.wikidata.org/wiki/Q865811","display_name":"Distribution (mathematics)","level":2,"score":0.6239867806434631},{"id":"https://openalex.org/C204323151","wikidata":"https://www.wikidata.org/wiki/Q905424","display_name":"Range (aeronautics)","level":2,"score":0.5987406969070435},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5979903340339661},{"id":"https://openalex.org/C149717495","wikidata":"https://www.wikidata.org/wiki/Q117806","display_name":"Gamma distribution","level":2,"score":0.5325689911842346},{"id":"https://openalex.org/C2778113609","wikidata":"https://www.wikidata.org/wiki/Q10897","display_name":"Lambda","level":2,"score":0.47078412771224976},{"id":"https://openalex.org/C527412718","wikidata":"https://www.wikidata.org/wiki/Q855395","display_name":"Interpretation (philosophy)","level":2,"score":0.4682259261608124},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.4608911871910095},{"id":"https://openalex.org/C2778755073","wikidata":"https://www.wikidata.org/wiki/Q10858537","display_name":"Scale (ratio)","level":2,"score":0.4274086356163025},{"id":"https://openalex.org/C30084815","wikidata":"https://www.wikidata.org/wiki/Q4390268","display_name":"Variance-gamma distribution","level":4,"score":0.42144346237182617},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4108573794364929},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3203452229499817},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.30415067076683044},{"id":"https://openalex.org/C65778772","wikidata":"https://www.wikidata.org/wiki/Q12345341","display_name":"Asymptotic distribution","level":3,"score":0.24248474836349487},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.23469635844230652},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.16778039932250977},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C159985019","wikidata":"https://www.wikidata.org/wiki/Q181790","display_name":"Composite material","level":1,"score":0.0},{"id":"https://openalex.org/C120665830","wikidata":"https://www.wikidata.org/wiki/Q14620","display_name":"Optics","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C192562407","wikidata":"https://www.wikidata.org/wiki/Q228736","display_name":"Materials science","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"pmh:oai::43333","doi":null,"is_oa":true,"landing_page_url":"https://mpra.ub.uni-muenchen.de/43333/3/MPRA_paper_43333.pdf","pdf_url":"https://mpra.ub.uni-muenchen.de/43333/3/MPRA_paper_43333.pdf","source":{"id":"https://openalex.org/S4306400553","display_name":"Munich Personal RePEc Archive (Ludwig Maximilian University of Munich)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I8204097","host_organization_name":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","host_organization_lineage":["https://openalex.org/I8204097"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"MPRA Paper"}],"best_oa_location":{"id":"pmh:oai::43333","doi":null,"is_oa":true,"landing_page_url":"https://mpra.ub.uni-muenchen.de/43333/3/MPRA_paper_43333.pdf","pdf_url":"https://mpra.ub.uni-muenchen.de/43333/3/MPRA_paper_43333.pdf","source":{"id":"https://openalex.org/S4306400553","display_name":"Munich Personal RePEc Archive (Ludwig Maximilian University of Munich)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I8204097","host_organization_name":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","host_organization_lineage":["https://openalex.org/I8204097"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"MPRA Paper"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321652","display_name":"Eidgen\u00f6ssische Technische Hochschule Z\u00fcrich","ror":"https://ror.org/05a28rw58"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2157383735.pdf","grobid_xml":"https://content.openalex.org/works/W2157383735.grobid-xml"},"referenced_works_count":48,"referenced_works":["https://openalex.org/W187944925","https://openalex.org/W1487023704","https://openalex.org/W1559250156","https://openalex.org/W1585379323","https://openalex.org/W1586063545","https://openalex.org/W1589112945","https://openalex.org/W1820140794","https://openalex.org/W1982366717","https://openalex.org/W1984074210","https://openalex.org/W1987110766","https://openalex.org/W1988581389","https://openalex.org/W1990503843","https://openalex.org/W2004720284","https://openalex.org/W2026747244","https://openalex.org/W2027591416","https://openalex.org/W2028406055","https://openalex.org/W2029503233","https://openalex.org/W2031797820","https://openalex.org/W2032725346","https://openalex.org/W2034358898","https://openalex.org/W2040509998","https://openalex.org/W2046634821","https://openalex.org/W2048092465","https://openalex.org/W2048265032","https://openalex.org/W2050017654","https://openalex.org/W2057622893","https://openalex.org/W2066363278","https://openalex.org/W2068833365","https://openalex.org/W2069261622","https://openalex.org/W2070255947","https://openalex.org/W2072482464","https://openalex.org/W2075698830","https://openalex.org/W2076209196","https://openalex.org/W2084840427","https://openalex.org/W2097581696","https://openalex.org/W2104016842","https://openalex.org/W2104103173","https://openalex.org/W2123838014","https://openalex.org/W2133777675","https://openalex.org/W2141759354","https://openalex.org/W2147388619","https://openalex.org/W2158408140","https://openalex.org/W2171482032","https://openalex.org/W2191191792","https://openalex.org/W2428472680","https://openalex.org/W2467305554","https://openalex.org/W3122905337","https://openalex.org/W3123166123"],"related_works":["https://openalex.org/W2102676891","https://openalex.org/W7098713036","https://openalex.org/W2101477659","https://openalex.org/W2075698830","https://openalex.org/W7097042178","https://openalex.org/W1846183621","https://openalex.org/W2604572204","https://openalex.org/W4247507531","https://openalex.org/W1596328079","https://openalex.org/W2046634821"],"abstract_inverted_index":{"We":[0,73],"consider":[1],"the":[2,5,58,64,67,79,82,91,97,104,109,115,125,142,145,164,167,178,182],"use":[3],"of":[4,31,46,60,66,78,96,108,117,141,163,177],"generalized":[6],"lambda":[7],"distribution":[8,14,40,68],"(GLD)":[9],"family":[10],"as":[11,90],"a":[12,28,38,75,138,175,193],"flexible":[13],"with":[15,27,37],"which":[16],"to":[17,41,123,160,188],"model":[18,42],"financial":[19,47],"data":[20,190],"sets.":[21],"The":[22,99,128,134],"GLD":[23],"can":[24,34,148,185],"assume":[25],"distributions":[26],"large":[29],"range":[30,95],"shapes.":[32],"Analysts":[33],"therefore":[35],"work":[36],"single":[39],"almost":[43],"any":[44],"class":[45],"assets,":[48],"rather":[49],"than":[50],"needing":[51],"several.":[52],"This":[53,156],"becomes":[54],"especially":[55],"useful":[56],"in":[57,158,192],"estimation":[59],"risk":[61],"measures,":[62],"where":[63,166],"choice":[65],"is":[69,131,157],"crucial":[70],"for":[71,114,121],"accuracy.":[72],"introduce":[74],"new":[76,135,183],"parameterization":[77,136,184],"GLD,":[80,165],"wherein":[81],"location":[83],"and":[84,93,106,120,169,196],"scale":[85],"parameters":[86,102],"are":[87,112,171],"directly":[88],"expressed":[89],"median":[92],"interquartile":[94],"distribution.":[98,110],"two":[100],"remaining":[101],"characterize":[103],"asymmetry":[105,147,168,195],"steepness":[107,170,197],"Conditions":[111],"given":[113],"existence":[116],"its":[118,154],"moments,":[119],"it":[122],"have":[124],"appropriate":[126],"support.":[127],"tail":[129,179],"behavior":[130],"also":[132],"studied.":[133],"brings":[137],"clearer":[139],"interpretation":[140],"parameters,":[143],"whereby":[144],"distribution's":[146],"be":[149,186],"more":[150],"readily":[151],"distinguished":[152],"from":[153],"steepness.":[155],"contrast":[159],"current":[161],"parameterizations":[162],"simultaneously":[172],"described":[173],"by":[174],"combination":[176],"indices.":[180],"Moreover,":[181],"used":[187],"compare":[189],"sets":[191],"convenient":[194],"shape":[198],"plot.":[199]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":2},{"year":2017,"cited_by_count":3},{"year":2015,"cited_by_count":1},{"year":2013,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}