Modelling Skewness and Kurtosis with the Bcpe Density in Gamlss

Journal of Applied Statistics, 2012

Posted: 10 Jan 2012

See all articles by Vlasios Voudouris

Vlasios Voudouris

ABM Analytics Ltd

Robert Gilchrist

London Metropolitan University

Robert Rigby

London Metropolitan University

John Sedgwick

London Metropolitan Business School

Dimitrios Stasinopoulos

London Metropolitan University

Date Written: January 6, 2012

Abstract

This paper illustrates the power of modern statistical modelling in understanding processes characterised by data that are skewed and have heavy tails. Our particular substantive problem concerns film box-office revenues. We are able to show that traditional modelling techniques based on the Pareto–Levy–Mandelbrot distribution led to what is actually a poorly supported conclusion that these data have infinite variance. This in turn led to the dominant paradigm of the movie business that ‘nobody knows anything’ and hence that box-office revenues cannot be predicted. Using the Box–Cox power exponential distribution within the generalized additive models for location, scale and shape framework, we are able to model box-office revenues and develop probabilistic statements about revenues.

Keywords: GAMLSS, BCPE distribution, film return

JEL Classification: C14

Suggested Citation

Voudouris, Vlasios and Gilchrist, Robert and Rigby, Robert and Sedgwick, John and Stasinopoulos, Dimitrios, Modelling Skewness and Kurtosis with the Bcpe Density in Gamlss (January 6, 2012). Journal of Applied Statistics, 2012 . Available at SSRN: https://ssrn.com/abstract=1981783

Vlasios Voudouris (Contact Author)

ABM Analytics Ltd ( email )

Suite 17 125
145-157 St John Street
London, EC1V 4PW
United Kingdom

HOME PAGE: http://www.abm-analytics.com/people.php

Robert Gilchrist

London Metropolitan University ( email )

166-220 Holloway Road
London EC3N 2EY, N7 8HN
United Kingdom

Robert Rigby

London Metropolitan University ( email )

166-220 Holloway Road
London EC3N 2EY, N7 8HN
United Kingdom

John Sedgwick

London Metropolitan Business School ( email )

London Metropolitan University
Holloway Road 271-280
LONDON, London N7 8HN
United Kingdom

Dimitrios Stasinopoulos

London Metropolitan University ( email )

166-220 Holloway Road
London EC3N 2EY, N7 8HN
United Kingdom

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
501
PlumX Metrics