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On an absolute autoregressive model and skew symmetric distributions

Li, Dong and Tong, Howell (2020) On an absolute autoregressive model and skew symmetric distributions. Statistica, 80 (2). 177 - 198. ISSN 0390-590X

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Identification Number: 10.6092/issn.1973-2201/10420

Abstract

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.

Item Type: Article
Official URL: https://rivista-statistica.unibo.it/index
Additional Information: © 2020 Statistica
Divisions: Statistics
Subjects: H Social Sciences > HA Statistics
Date Deposited: 28 Oct 2020 13:15
Last Modified: 20 Nov 2020 01:09
URI: http://eprints.lse.ac.uk/id/eprint/107088

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