2022
DOI: 10.3390/math10183371
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From Multi- to Univariate: A Product Random Variable with an Application to Electricity Market Transactions: Pareto and Student’s t-Distribution Case

Abstract: Multivariate modelling of economics data is crucial for risk and profit analyses in companies. However, for the final conclusions, a whole set of variables is usually transformed into a single variable describing a total profit/balance of company’s cash flows. One of the possible transformations is based on the product of market variables. Thus, in this paper, we study the distribution of products of Pareto or Student’s t random variables that are ubiquitous in various risk factors analysis. We review known fo… Show more

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Cited by 5 publications
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“…Inspired by Adamska et al [22], who examined the distribution of the product of the lognormal or normal distribution and the Pareto distribution, we propose the integration of a Pareto-distributed scale that can appropriately mitigate (1)-(4) of the CL issues and has behaviorally reasonable interpretability into the MIXL model. We refer to it as a mixed logit with integrated Pareto-distributed scale (MIXL-iPS).…”
Section: Introductionmentioning
confidence: 99%
“…Inspired by Adamska et al [22], who examined the distribution of the product of the lognormal or normal distribution and the Pareto distribution, we propose the integration of a Pareto-distributed scale that can appropriately mitigate (1)-(4) of the CL issues and has behaviorally reasonable interpretability into the MIXL model. We refer to it as a mixed logit with integrated Pareto-distributed scale (MIXL-iPS).…”
Section: Introductionmentioning
confidence: 99%