On an Absolute Autoregressive Model and Skew Symmetric Distributions

Autor:	Dong Li, Howell Tong
Jazyk:	angličtina
Rok vydání:	2020
Předmět:	absolute autoregressive process estimation of skewness parameter singular distributions skew-normal distribution skew-cauchy distribution Statistics HA1-4737
Zdroj:	Statistica, Vol 80, Iss 2, Pp 177-198 (2020)
Druh dokumentu:	article
ISSN:	0390-590X 1973-2201
DOI:	10.6092/issn.1973-2201/10420
Popis:	By exploiting the connection between a popular construction of a well-known skew-normal distribution and an absolute autoregressive process, we show how the stochastic process approach can lead to other skew symmetric distributions, including a skew-Cauchy distribution and some singular distributions. In so doing, we also correct an erroneous skew-Cauchy-distribution in the literature. We discuss the estimation, for dependent data, of the key parameter relating to the skewness.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/c9ca2c6f618a4267a2eb5cbf6d7c658f Zobrazit plný text záznamu View record in DOAJ