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
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 |
|---|---|
| Keywords | absolute autoregressive process,estimation of skewness parameter,singular distributions,skew-Cauchy distribution,skew-normal distribution |
| Departments | Statistics |
| DOI | 10.6092/issn.1973-2201/10420 |
| Date Deposited | 28 Oct 2020 13:15 |
| URI | https://researchonline.lse.ac.uk/id/eprint/107088 |