On an absolute autoregressive model and skew symmetric distributions
Li, D. & Tong, H.
(2020).
On an absolute autoregressive model and skew symmetric distributions.
Statistica,
80(2), 177 - 198.
https://doi.org/10.6092/issn.1973-2201/10420
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 |
|---|---|
| Copyright holders | © 2020 Statistica |
| Departments | LSE > Academic Departments > Statistics |
| DOI | 10.6092/issn.1973-2201/10420 |
| Date Deposited | 28 Oct 2020 |
| URI | https://researchonline.lse.ac.uk/id/eprint/107088 |