University of Auckland

2008-03-17

University of Waikato, I.1.09 (I Block, 1st Floor)

THE HYPERBOLIC AND RELATED DISTRIBUTIONS

Abstract: In many application areas the collection of large amounts of data has brought a need for more sophisticated modeling of distributions. In finance, but also in other areas, the hyperbolic and related distributions have created considerable interest. I will describe these distributions and their relevance to applications and also mention other families of distributions which have been investigated.

The theory relating to these complex distributions is in the main, well known, but implementing them in software and using them in applications is another matter. I will describe some problems and approaches using R to implement the hyperbolic and related distributions. The work is also of relevance in dealing with other distributions.