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: | 12 Dec 2024 02:21 |
| URI: | http://eprints.lse.ac.uk/id/eprint/107088 |
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