On an Absolute Autoregressive Model and Skew Symmetric Distributions

IF 1.6 Q1 STATISTICS & PROBABILITY
Dong Li, H. Tong
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引用次数: 2

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.
关于绝对自回归模型和偏对称分布
通过利用众所周知的斜正态分布和绝对自回归过程的流行结构之间的联系,我们展示了随机过程方法如何导致其他斜对称分布,包括斜柯西分布和一些奇异分布。这样做,我们也纠正了文献中错误的偏柯西分布。对于相关数据,我们讨论了与偏度有关的关键参数的估计。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Statistica
Statistica STATISTICS & PROBABILITY-
CiteScore
1.70
自引率
0.00%
发文量
0
审稿时长
10 weeks
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