[R-SIG-Finance] Generating Distributions with set skewness and kurtosis

[davidr at rhotrading.com]

You might try the Johnson distributions, algorithms 99 and 100 from APPL. STATIST. (1976) VOL.25, P.180ff
I don't have this any more, but maybe you have access to JSTOR.

David L. Reiner, PhD
Head Quant
Rho Trading Securities, LLC


-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Matthias.Koberstein at hsbctrinkaus.de
Sent: Tuesday, August 26, 2008 10:53 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Generating Distributions with set skewness andkurtosis


Hello,

I am reaching out to you for help since I am struggeling to find a function
to generate distributions with a set statistical properties as kurtosis and
skewdness.
Lets say I want to generate random variables following a "normal"
distribution, but with skewness 2 and kurtosis 5.
How would I do that, the most efficient way? Are there any packages for
that? I had a quick look but were only able to find packages which
calculate statistical
distribution properties after having the data.

Thank you very much

Matthias

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