On an Absolute Autoregressive Model and Skew Symmetric Distributions

Statistica

Dong Li¹  Howell Tong² 

[1] Tsinghua University;University of Electronic Science and Technology of China;

关键词: absolute autoregressive process;    estimation of skewness parameter;    singular distributions;    skew-normal distribution;    skew-cauchy distribution;   

DOI  :  10.6092/issn.1973-2201/10420

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown