A method for simulating nonnormal distributions with specified \(L\)-skew, \(L\)-kurtosis, and \(L\)-correlation (Q1954438): Difference between revisions
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scientific article
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English | A method for simulating nonnormal distributions with specified \(L\)-skew, \(L\)-kurtosis, and \(L\)-correlation |
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A method for simulating nonnormal distributions with specified \(L\)-skew, \(L\)-kurtosis, and \(L\)-correlation (English)
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11 June 2013
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Summary: We introduce two families of distributions referred to as the symmetric \(\kappa\) and asymmetric \(\kappa_{\mathcal L}-\kappa_{\mathcal R}\) distributions. The families are based on transformations of standard logistic pseudo-random deviates. The primary focus of the theoretical development is in the contexts of \(L\)-moments and the \(L\)-correlation. Also included is the development of a method for specifying distributions with controlled degrees of \(L\)-skew, \(L\)-kurtosis, and \(L\)-correlation. The method can be applied in a variety of settings such as Monte Carlo studies, simulation, or modeling events. It is also demonstrated that estimates of \(L\)-skew, \(L\)-kurtosis, and \(L\)-correlation are superior to conventional product-moment estimates of skew, kurtosis, and Pearson correlation in terms of both relative bias and efficiency when moderate-to-heavy-tailed distributions are of concern.
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standard logistic pseudo-random deviates
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\(L\)-moments
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\(L\)-correlation
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\(L\)-skew
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\(L\)-kurtosis
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